In my book:

sneak into == not paying

The best story is the one that is not explanatory. The whole point is to take the focus off you. So I would usually start with asking the person how his job is going, or if the band found fix their PA, or just borrow a cigarette, etc.

If he asks directly "who are you", depend on who this person is, I'd tell him I'm with the band, with the stage crew, with the press, or a promoter.

But really, if you do it right you shouldn't need to explain anything to anyone.