Ill toss my opinion in....
I have only been caught Stealthing once and it was after the set of the artist I wanted to record was done (he was the opener at this show), so I politely told the security personnel that my evening was over and I would be on my way. They wanted to keep me there and ask me all sorts of questions, but I explained to them that I was leaving, and the worst thing they could do to me would be to make me leave, which I was already doing. I submitted to no search of my pockets or anything, they never officially 'caught' me as they could not see the 4061s.
Be polite, be cooperative, but remember that these security guys do not have any right to get personal information from you or photograph you, unless you agree to it under the condition that you can stay for the rest of the show (thus agreeing to the contract that is your ticket). If you bought your seat by credit card, the venue can find out your name and info that way if they so decide, but who cares?
If you really 'need' to stick around for the rest of the gig, then you might want to play ball to some extent. But if youre cool leaving for the night, show them and tell them nothing.... nicely.