Ask the show organizer if they are providing security overnight. They will tell you they are not responsible for your stuff, so you have to make up your own mind to leave it or not. But I've done both and much prefer leaving it there overnight. Last two day show I did I packed up everything and put it on one table, then "wrapped" it in tablecloths and sheets so it was a complicated mess to get into, and walked away with just my money. In the morning all I had to do was unwrap my layers and rehang all my stuff. Worked well.
For indoor shows, most of them will tell you you can leave it all there, and almost everyone does. If you have small stuff, bring it home. If you have large bulky stuff that would require multiple trips to the car to get it out of there and another set up in the morning, then consider leaving it. However, don't EVER leave your money or valuables there.