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The SAHARA Theatre is on the Strip inside SAHARA Las Vegas, at the north end. In your maps or rideshare app, search "SAHARA Las Vegas" and follow signs to the resort, then to the theater inside. Self-parking is free here, a real perk on the Strip, and the SAHARA has its own Las Vegas Monorail station if you are hopping down from mid-Strip. Follow the interior signs to the theater once you are in.

Parking and prices can change, so it is worth a quick check with the venue before you go.