Definitely dress up! I had a fantastic time when I went. Am still quite amazed in hindsight that our parents let us go but went with a group of friends when we were still at school. It was the 21st Birthday Tour and we went by train, all dressed up, to Birmingham to see it...not a parent in sight, brilliant!
I have an enduring memory of us all doing the Timewarp on Birmingham New Street Station.
Saying that, it was my Dad who got me into it after I discovered his record of the soundtrack from the original show.
Some venues tend to search people for rice and lighters and such though so be careful what you do take in case it gets confiscated.