Do not go expecting to be a voyeur. Drag shows are participatory live art/theater and no two shows are alike. You may end up on stage. Personally, I can’t sing or dance worth a shit, but just looking like you are having a good time contributes to the vibe. And if you aren’t having a good time, leave. That’s right, I’m looking at you, scowling middle-aged guy; when you do that we all just think you are having stirrings in your loins you can’t control. If you are there to mock or be an asshole it is like blood in the water and you will leave humiliated.
Bring plenty of $1s and $5s. You are expected to tip the performers and the waitstaff. Respect them; this is how they make a living. But remember, your sweaty $1 does not entitle you to a grab the tits or the tackle (or both), unless of course you are encouraged to do so.
Do not make assumptions about the crowd. People are always surprising.
Ladies, do not spent the whole show making deliberate physical contact with your boyfriend/spouse. You will not somehow keep him from liking boys dressed like girls this way. You look silly.
Show some respect and it will be shown to you.
Wear clean underwear. That is always a useful tip. Sometimes especially useful.
Above all, have fun. That’s what it is all about.