My answer to that is "it depends". Some scenes, I'd be quite confident that I have all the time in the world to swap lenses, and not miss anything important. Heck, I could saunter from the stage front to the sound booth for a shot to capture an overview of the staging/blocking, and not miss anything terribly exciting. Other times, thinking back to some of the scenes I've shot, I'd be attempting to change lenses in the dark, while on the move, navigating around people, stairs, and auditorium seating. Not doing this on a daily basis, I'm not so confident that I'd get that swap down in time, before I have to be where I want to be for the next shot. This is where having that staged shoot would come in handy, as I'd just switch lenses and have them re-run that part of the scene.

I've never been one to worry about dust. I've swapped lenses in a windstorm, while at the Oregon Sand Dunes. My wife wasn't so thrilled with that.

That bag looks awesome... thanks for that pointer. That's a case (NPI) where having the right gear is helpful. My camera bag is a backpack style bag, with a side-pocket access. It's great for walking around on a family outing, but not so great when you're in a single location for a few hours, needing rapid, frequent access while on the move. But then, like all of our gear, we really bought it for the former, with the theatre work being a secondary use.

It's all been a huge learning experience -- I've only been doing theatre photography for ~4 years, and it's been 100% learn-as-you-go, so I guarantee you there's lots I don't know about the subject.