I would say, Don’t try.
I think it’s great that he has no fear of what other people think of him. Inconvenient right now, but great for later. You want him to behave considerately because it's the right thing to do, not because others will judge him poorly if he doesn't.
(It's partly the difference between raising a follower and raising a leader. A kid who worries about what the other kids think/always tries to do what the other kids are doing may stand in line quietly when waiting to go on stage; but when a group of his friends start to taunt a new kid because he has a weird name, do you want a kid who joins in, or one who says, "Knock it off! How would you like if it you had a name like that and everyone made fun of you?")
I think the problem is he needs to learn to take into consideration how his behavior will make other people feel. Knowing the social rules is a good start -- I am a strong believer in explicitly telling kids these -- but he also needs to know how people will feel if he breaks them. And, since he might not always have you to explain the rules, he needs to learn to consider beforehand what effect(s) a particular behavior will have on others and for himself. (E.g., tell him it would be unkind to others to makes noises on stage -- the other kids and their parents and the teacher will feel sad. And that will make them not want to play with him in the future).
Unfortunately, he’s a little young to be able to do this well. So you’re going to have to compensate. For now try to sign him up for things where he will be less bored (who wouldn’t be, waiting for their turn to sing?), so he doesn’t have to exhibit so much self-control. Where you still want him signed up for things that will be problematical, arrange beforehand what to do when he causes a problem. Have someone ready to whisk him off the stage. Be matter-of-fact; don’t treat it like a punishment (for now, anyway – when he’s older, you’ll need to expect more of him), but you need to be fair to the other kids.
To help with his empathy, if you can find places where disruption causes him to be disappointed, point them out. If he’s watching a DVD and the picture goes fuzzy, point out that his disappointment is just like that of the parents watching their kids on stage when he disprupts things.
Talk about what kind of behavior makes a good friend. (A good friend is kind, a good friend shares, a good friend takes turns, a good friend says "That's too bad!" when something sad happens to you...) Point it out when someone does something kind (or mean!), and ask him how it made him feel; and how he would have felt if the child had said/done x instead. And ask if he thought kids would like to be friends with a kid like that.
When my daughter was three, she had a friend who would say with joy, "Hey, 'Jane' won!" when she won a game they were playing. (Jane is not her real name.) I pointed this out to my daughter, asking how she felt when he said that, and saying how much I admired this boy's generous spirit. (I had to define generous.) My daughter is extremely competitive, so it took her several weeks to process this, but finally she figured that this boy was her friend, and she should feel happy when her friend won a game. And now she does. She's happier when she wins, of course, but she always displays good sportsmanship, and the other kids enjoy playing with her.
And help your son learn to apologize when he makes a mistake. Adult will forgive a lot from a kid when they can tell the kid is learning. Kids are less forgiving, but have shorter memories. If he can replace a bad experience with a good one, he can still redeem himself.