How "stealthy" you need to be is almost entirely venue dependent.
If you're just starting out, it might be best to scope out the security (since most places use the same security company) beforehand. Personally, if they're using metal detectors and doing pat downs, I don't bother taping and just enjoy the show. I only see that at big rock shows. Most of the shows I go to, they're just looking for booze and weapons.
Otherwise, I sneak all my stuff in neatly packaged and mixed in with other stuff, shuffle off to a bathroom stall and "wire up".