We just wore casual clothes. Some people were in shorts and t-shirts, others were dressed nicer. If I remember correctly it was rather cold inside the theatre...
...everything from tee shirts and shorts to slacks and jackets. But relax. The atmosphere is festive and fun -- this IS the circus, after all, albeit a pricey one.
And yes: you might want to bring a sweater. It can get nippy.
As far as I could tell it is "Don't be naked". It's in the dark and nobody is watching the audience, just the performers. It's your vacation, dress accordingly. Whatever makes you comfortable.