Yes, the cabaret is performed by Lady-boys, but I would bet a number of the audience are not aware of this (they were that good). Although not up to West-End production standards, the costumes, seating & sound system are excellent.
I would not give up on DVDs/CDs, they only cost a couple of quid, and so many are sold (with the authorities blessing), you would be unlucky to have them confiscated, unless you have a suitcase full.
If you don’t have a car for your whole stay, I would recommend you hire a car for at least a day to explore the island (Phuket town, giant Buddha etc), do a bit of research before you go, and what is on offer on arrival.
I have a couple of made to measure suits at less then £50 each from Phuket, but with the current exchange rate, they are now likely to cost around £70. My other half took magazine photos of designer dresses and had a couple made to measure, while there.