Use fast film. You're photographing fast action in dim light, so you need every bit of film speed you can get. If you are using a digital SLR camera, set your ISO speed to a higher number.
Use a fast lenses. The 50mm lens that used to come with every new single lens reflex camera is probably the fastest and sharpest lens in your arsenal, and it will handily capture a stage full of action. The zoom lenses that are standard today, though convenient, are generally very slow and poorly-suited for stage photography.
Use a tripod. No matter how fast your film and lenses are, shutter speeds are going to be too slow to reliably hand-hold your camera.
To catch a dancer in mid-air at the peak of a grand jete, wait a beat after he or she leaves the stage floor to snap the picture. Or if you have a continuous shooting camera, use that function as soon as the dancer leaves the ground.