The theatre is very close to Victoria Station and that area is called Victoria. It really depends on what your plans are whether you choose Victoria as a base or not but you will find plenty of hotels there.

I wouldn't personally because i like a night on the town after the theatre and so would choose a hotel close to Soho/Mayfair. Tube links are very good so stay in Victoria if it suits you if not just travel to Victoria for the show.

Thanks for that! I thought Victoria would be a little out of the way to stay. I'll start looking in the Soho/ Mayfair area.