A grey card will not help you much; the coloured lights will throw off any auto white balance, and if you're adjusting manually, you'll still need to account for what coloured light was actually there, which will change from photo to photo.
You're more like to want to reproduce the colours well, which means balancing for the bulbs behind the coloured gels/filters, which often overwhelm the background light (but will depend on the venue). If the background light is particularly bright, this means you've got a bit of a problem, as it probably doesn't match the bulbs in the coloured lights, and you'll have to compromise at something that doesn't make the background balance unnatural, but still renders the colours well.
All that said, a quick and dirty method to get you in the ballpark: Take two pictures, one at tungsten (or slightly higher; say 3500K) and one at daylight. Compare them to see if one looks especially blue or especially orange, and pick the other one. If you can't decide, pick an in-between value like 4500K.
The reasoning is that the lights behind the gels/filters are likely to be very close to one of those values. With all the coloured light around, it's not going to matter as much, and if you need to do subtle tweaks in post, this gets you more than close enough.
I strongly suspect you won't need to tweak WB subtly in post, and will be more worried about bringing out the colours. Even then I wouldn't feel bound by any sort of objective accuracy; it's often the feeling of these situations that's the important thing, and they often feel exaggerated.