No, the show is not at one of the parks.
My family went a couple of years back and the big problem (other than not liking the show) was getting there. We were staying on-site and had to take 3 or 4 busses to get there. The trouble that we had getting there really spoiled the whole thing for us.
Your best bet is a cab. Failing that, take a bus to MK and take the boat over to FW.