Your mileage will vary, but you could try leaving it at a hotel. There are some hotels where you go through the front desk clerk to store baggage, so I would look for one that has actual bellmen that you can walk straight up to and they don't know if you're checking in/out or not. (Not that they'll arrest you or anything if they find out you're not staying there, I just do my very best to avoid any awkwardness.)
Recently I did this at the RIU Plaza Times Square at 46th and 8th, so I know for sure that they don't ask for a room number or anything. Just be sure to tip well!
EDIT: I originally missed the part about coming back after an evening show. I've never done this where I pick up the bags late at night, as a guest or otherwise, so it might be weird. Maybe do go with a professional service for this one - I stand by this method for daytime use, though.
Updated On: 12/13/18 at 08:00 AM