Well, I took mine in, but they weren't horribly strict on security, at least it seemed that way to me. It was also a small venue, just about 6,000 people, so it wasn't huge. If they have metal detectors, I'm not sure I would do it!
Ummm...IDK. I'd want to take it too, but would die if some security guard tried to steal it. Unless you can go w/ Darcy's idea *snort* I'm just not sure.
I wouldn't bother sneaking the DSLR unless you had good/floor seats. If you're any farther away, it will be too dark, too crowded, and too far even with a zoom.
Your best bet is to bring a coat/jacket with a pocket on the inside to stick your p&s in. They might make take your coat off to visually pat you down (you know what I mean) and will likely pilfer through your purse, but I've never had anyone search my coat at shows like that.