I don't know how much residue gorilla tape leaves behind, but gaff tape is fine and accepted on a followspot, although try not to tape directly onto the lamphouse, due to the heat. But taping a sight near the front is fine. Bring a pair of gloves, (I like a pair of cotton gardening gloves), as the Douser, Chopper, and Iris handles of some fixtures get rather hot....I've got a great red dot pistol scope that works on the very same principle, it just doesn't have a magnetic base... yet... (I sense a project!!!)
Now please answer a question for me, [user]Radiant[/user]. How does one set up a red dot scope on a gun? With the SpotDot on a followspot, prior to the show, one just shoots the beam of light somewhere offstage (if there's audience, you don't hit the stage unless you're picking up someone) at the approximate throw distance and center the red dot in the beam. But I can't quite see how that would work with a gun. Shoot, see how far you're off, shot again, readjust, repeat until accurate, would seem like a waste of many bullets.
As far as changing lamps goes, for the distance you're shooting, they're going to be HMI, HTI, MSR or possibly Xenon sources and should not be changed without training, particularly the Xenon. Sounds as if you'll have a rep. from the lighting company on-site. I suspect that person will be calling spot cues and running the board, and not know too much more about the band than you do. So don't sweat it, you'll do fine.