There is only 1 dementor in the audience. The other 2 are on stage, behind the proscenium arch.
The one in the audience falls from the ceiling over the 5th or 6th row of the front orchestra. It then makes it way in a circle around the orchestra, then moves up to the dress circle where it hangs out a bit, finally up the balcony, before finally returning to the orchestra level and ascending upwards. It then gets lifted into the rafters as the final 2 dementors on stage do the final "drop" to the ground before the lights go out.
It's a breathtaking 90 seconds, some of my favorite ever in a theater. (I've seen the show 4x which is the only reason I feel I have some sort of understanding how this works )