Shooting under dim LED lighting now common in small performance venues can be challenging to put it mildly. What often happens is that most of the light is from only a narrow part of the visible spectrum and either the blue or red channel will blow out completely. This is especially true when green is totally absent.
If you are looking at a brightness histogram that averages Red, Green, and Blue together the absence of one or two of the colors will often mask the fact that the third color is oversaturated and blown out. If your camera has the option to display a histogram with R, G, and B displayed separately, it is much easier to see when only one channel is blown out and the other two are barely present.
So the first step is to adjust exposure for the brightest color channel instead of all three channels averaged together when one or two of the three channels are much dimmer. You can still allow full saturation of the brightest channel if saving in raw format, because raw will give you 1-2 stops of extra headroom for the highlights, but you can't totally blow out one or more channels like your camera will probably try to tell you to do.
The next step is having realistic expectations. You're not going to be able to get the same kind of images that are possible from the pit shooting a theatrically lit act in the nearest arena. There's just too large of a difference in total light illuminating your subjects. However well you can do in a dim club, you can do that much better with high intensity theatrical lighting and spotlights on the primary performers.
In a very dim club you're going to have to shoot at high ISO, wide apertures, and relatively slow shutter speeds. Your margin for error in terms of depth of field will be somewhere between very slim and zero. You're almost certainly going to be forced to use shutter speeds much slower than you would prefer shooting moving subjects with a handheld camera. You'll probably need to use fairly aggressive noise reduction in post. All of these things tend to reduce the level of sharpness you can expect from many of the frames you shoot.
You can either choose an insanely high ISO that gives you a fast enough shutter speed to freeze action and eliminate camera movement but forces you to use more noise reduction OR you can choose a slower ISO and shutter speed, try to time your shots when motion is minimized (such as the instant a guitarist's hand transitions from strumming up to strumming down or the moment a performer who just jumped in the air stops going up and starts coming down), use image stabilization if available to help with camera movement, and live with the fact that you're going to have a much lower overall keeper rate but your best shots will need to have less detail destroying noise reduction applied.
The third step is learning how to leverage the power of raw files in post processing to bring out the details that are actually there in your photos, but hidden by the less than full spectrum lighting with peaks at very limited points in the spectrum.
Consider the following image taken straight from camera with Auto White Balance. Canon EOS 5D Mark III, ISO 5000, f/2.2, 1/50 second (non stabilized EF 50mm f/1.4 lens).
And this 100% crop of the leader's face.
Here's the histogram, with the cursor centered on the blown out area under his right eye.
It's pretty obvious that the red channel is totally blown out, the blue channel is fully saturated as well, and the green channel is nowhere near saturation. The red and blue LEDs illuminating the stage were on and at or near full intensity, while the green ones were much dimmer or off (I remember them being totally off, but my memory might not be as good as it once was). There was also a chandelier with dim incandescent bulbs overhead, dim incandescent lighting in the audience areas, and both incandescent and sodium vapor lights spilling in from the street through the large window on one side of the band. These other ambient light sources provided what little green there was in the scene. After some extensive work with white balance, light curves, selective color, sharpening, etc, about the best that could be pulled out of this frame was the following:
It's not great, but it looks a lot better than where we started. Just getting the blown highlights under control goes a long way to showing that poor focus wasn't the main problem with the image. The blooming caused by oversaturation in the red channel made everything look blurry!
Here's a 100% crop and histogram from another shot from the same set exposed about 1 1/3 stops darker. Same camera and lens, ISO 5000, f/2.8, 1/80 second.
Although the histogram still shows full saturation in the red and blue channels on the same spot of the face, it's pretty clear they are not nearly as blown out (especially red) as the other shot and there was enough headroom in the raw file to recover the detail. We were even able to push the exposure up 1 stop when developing the raw file to gain back the lost brightness. Notice the more even skin tones in the face and hands of the leader.
Another frame exposed at the same settings taken from a little closer to the stage:
And a smaller crop showing facial detail (yeah, I missed focus just a bit but look at that detail on the microphone's windscreen!):
Another shot from another night at the same venue when the green LEDs were fully illuminated and I was able to expose 2/3 stop faster and use much less aggressive noise reduction in raw conversion:
Notice the fuller range of colors and increased saturation allowed! Just look at the stage and the back wall and you can see the difference. The extra light and fuller spectrum also allowed better results when processing to monochrome:
Note the much better contrast and dynamic range.
In the end it is a combination of getting as much light from as wide the visible spectrum as is possible on your subject, correctly exposing when shooting the event, and then drawing the details out of your raw files that aren't always that evident at first glance later when sitting at your computer.