I don't know the show, so I can just give general advice.
Sit down with a script, or even better go and watch a full run through of the show (with music, if applicable for the show). As you go through the show, think about how you want the stage to look. Is it bright white, outside, basic lighting? Is it drab, dark, foreboding light? Is it strip club lighting?
Don't get too caught up with the different shades. If you have a Rosco swatch book, say "i want a red". Then go and look through their reds and find a nice one that you like. You don't need to spend hours upon hours debating the minor subtle shifts of one vs. the other.
You can download the demo of
Virtural Light Lab and try out some colors and see how they mix, both on the cyc and on a person.
Just think of basic color theory (basic, as in is red a warm or a cool color, is blue a warm or cool color) and build from there.
Good luck, and most importantly, have fun