I recently read about a potential makeup emergency on That Bride, and I thought this information might be beneficial for everyone.
I have a friend who is a dancer (ballet, not exotic) who raves about makeup's version of hairspray. This stuff stops her makeup from sweating off...even though she literally has beads of sweat dripping down her face! Read more about it's uses here (replace the word "cheerleaders", with "brides" to make it more relevant).
This little bottle of makeup magic is called, Barrier Spray. It can be bought at several online costume stores, but Chicago Costume (1120 West Fullerton) carries it as well (but they currently only have ONE in stock). Just in case you're not the lucky winner of the last one, they've assured me that they will be restocking the item... I hope you have found this helpful!
UPDATE: There is also a spray called Model in a Bottle. It's slightly more expensive ($18 vs $5), but if it's better, than it's worth the extra money. :)