I went to Swedish House in Toronto. It may be different than MSG, but the security was a shit show. So relaxed. But heres what i suggest (and what i did):
So get a 6-8oz soft plastic flask, fill it with something strong (b151, everclear, etc...), then take a rubber band and loop it around the top so that its like a short leash. Tie the other end around the button for your fly, then jam that shit down your pants snuggled on top of your johnson. Wear briefs over it to make it even less noticable.
Trust me even if they patted you down like the TSA youd be good.
Have fun man, SHM live is incredible