There are plenty of sites on the internet to help you with this. Next comes the waiting. There are far fewer people waiting, and you don't have to wait till all hours of the night after the show. I recommand when starting out, that you get to the theatre or show hall about four hours before show time. This is the place that the celeb will come up to to get into the theatre.
Most stage doors are usually right in the open, sometimes behind the building.
The worse case would be if the stage door is in a place where buses can drive into, like a loading dock. Those places are the worst for Autograph Collectors. Don't be loud and don't be rude, especially to the security. It is their job to protect the celeb who is appearing there, but in most cases they are very friendly. Don't hesitate a white lie and say you are going to the show.