The Sesame Show is seasonal. I don't know when you are going to SW, but right now the show is daily. There are times during the year that the show does not run.
Have a great time! Remember to get to the park and also get to the show theater early. There are only two Elmo shows per day and take place in the morning. Since there are only two shows, the small theater fills up quick. I would suggest being at the theater almost 45 minutes before the show to get a good/guaranteed seat.
dart as the show ends to teh exit on right. line forms outside theater to teh right to meet elmo. when i was there in june it was elmo, abbey, grover, and rosita for a photo op that many families did not know was there.
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