There are ways to get the maximum out of your stamp show visits and all it takes is a little planning on your part. In terms of the basics, I have found that keeping a stamp bag with pockets and spaces for the essentials -- tongs, your checklist of desired items, magnifier or loupe -- at the ready will make it easier to pull things together and get out the door and to the show. (I would also keep in the bag approval cards, sheet holders and a small stockbook to assure your purchases make it home with you intact.)
Before the show find out what dealers will be in attendance. A little research will tell you what a dealer specializes in. If there are a number of those that have the material you collect you can visit them first, with a more exploratory visit around the show floor after you've found what you need. As you browse other dealers you may find that there are other items you didn't know you needed -- part of the fun of discovery.
What collector's organizations are going to be at the show? Groups like The American Topical Association and The American First Day Cover Society appear at many of the larger shows. If you belong to one of the many worldwide collector's groups you will want to visit their booth and reconnect with other members. If you don't belong yet, a show is a great place to get the feel of a group by the members present; not to mention a great place to join quickly and easily.
What events are taking place at the show? Many collectors enjoy attending first day ceremonies at the larger shows. Dignitaries and celebrities are often part of the festivities. And if the stamp is one of interest to you, you may want to pick up one of the first day programs to add to your collection.
Check to see if there are any talks or lectures being offered in your area of collection, or an area you think you may have interest in. The stamp show isn't just a place to buy and sell stamps, but also the place to gain knowledge that will help you enjoy your hobby more.
If there is no first day ceremony there may well be a special cancel related to the theme of the show if it has one. Shows are a good source of pictorial cancels on a number of topics like space, local history, famous people, postal history, etc. While cacheted covers are frequently available, you might more economically acquire a cancel for the price of a stamp. There are also international postal administrations which offer their wares and possibly their own show commemorative cancel.
While you may get lost in the vast array of philatelic material at the dealers' booths, make sure you schedule some time for viewing any exhibits that are part of the show. Even if the subjects are not "up your alley" you will be surprised at how quickly you are drawn into an exhibit for which you had no previous interest. A number of times I've heard comments like "I didn't know stamps could tell a story so well" or "That was a lot more interesting than I thought it could be." Stamp show etiquette dictates that one merely smile at such words, while holding back the "I told you so!" that is fighting to get out.