At Hippodrome Casino Theatre.

Cranbourn St, Leicester Square, London WC2H 7JH

The Hippodrome entrance is on the corner of Cranbourn Street and Charing X Road (next to Exit 2 of Leicester Square tube station, on the Piccadilly line and Northern line's Charing X branch).
Then make your way upstairs to the Theatre, or to the restaurant if you are dining before the show.