Curly hair agh...where do I begin. My hair reacts to the weather, and it drives me nuts. I (like you) wear my hair according to my costume, and I too get what I call the Diana Ross look after I perform. Sometimes it doesn't look bad, and the other times I look like the Lion King. Here is what I do to avoid the Diana Ross/Lion King look.
I wash my hair. (at least 5 hours before I perform)Use a leave in conditioner (like Maylynn suggested) and put different gels in my hair that I know will lay my hair flat. Once it is dry, I still have my curl, but it has that wet look to it. After a few hours have passed seperate the curls, or leave them alone and do the famous head whip to get a little fluff. By the time you finish dancing your hair will look normal. It won't have the wet curl look, it also wont have that look that you DON"T want. You know your hair best. Everyone had excellent suggestions. Play around with all the ideas, one of them is bound to work. Good Luck
Oh,I forgot to add. I think that you should wear your hair down.