Stage fog sucks so bad. #1 you can't use flash. The light from the flash will just bounce off of it and right back into your camera. Sort of like having your high beams on when it's a foggy night.
What i do is under-expose about a half of stop or even a full stop, because the fog will fool your meter into thinking there's more light (like with snow or water). The photos will be a bit flat looking, so the best is to just boost the contrast in photoshop a bit.
Also, wait for the artist to get as close to you as possible. That way there's less fog between you and them.