I also have the ZR500. I personally can't stand the audio through the camera mics. If there's any way possible, you should at a minimum get an external mic and plug into the mic jack. You might want to test it first though to make sure it works as well as the internal mic. No matter what, it's my opinion that if you don't synch your video with a decent quality aud recording, your video is gonna have limited appeal for watching later. There's nothing worse, for my own personal experience, than trying to watch a video that has audio run through a crappy onboard mic...and the ZR500 has the crappiest mics.
Anyway, beyond that, what you wanna also do is set the camera on manual focus at the start of the show and set your focus on something on the stage. What happens if you don't do that is that when the lights go low, the ZR500 loses its fix on the automatic focus and then your image will blur until the lights go bright enough that the camera can auto focus again. Sometimes it doesn't matter how bright it is, it will lose focus in red lights. For some reason, this camera doesn't like red lights...although I guess that's not an uncommon phenomenon on all video cameras.
Hmm what else. If you want a watchable video, you DEF need some kind of support for your camera. if you don't have at minimum a mono-pod, then you're wasting your time trying to video tape because you absolutely will NOT get a video that you'll consider worth watching later.
Monopods work pretty well. If possible, get yourself positioned in the center of an row, as far away from the aisles as you can get. Even if the camera nazi see you, they'll have to make some effort to tell you to take it down and some of the lazier or older ones won't bother...and you can make like you never see them if they're waving their arms trying to get your attention.
Although people standing in front of you can be a pain, in general the more standing people there are in the vicinity of where you are filming, and the more commotion there is, the less likely you are to be discovered. That doesn't necessarily bode well for the cleanest video and you'll probably have some heads ducking in and out of your video, but it beats getting caught.
You might try further camoflaging the camera by draping something over the top, like a black towel and just leaving the lens exposed.
Good luck