That's how I got caught the one time I did (ever). I was at the 930 club in DC, setting up in the bathroom, when in comes security demanding I come out. I'm not sure if they had cameras in the stalls, or if they just randomly did that hoping people would turn themselves in or what.
I used all kinds of methods to get gear in. My favorites were the diaper bag and the fedex box. But it's mostly about giving them something else to find. If you have a bottle of water or a beer or something in your bag "kinda" hidden, they'll stop once they find it and take it.