Use a quality lighter. Refrain from bringing cheap lighters to concerts as they can break, which spills lighter fluid. Go to a cigar shop and ask employees for lighter recommendations if necessary.
Wait for a ballad to raise your lighter, as most people raise lighters during slower songs at concerts, the classic example being "Free Bird" by Lynyrd Skynyrd. Another option is to raise your lighter in hopes for an encore.
Use your thumb to hold the lighter down, thus keeping the flame ignited throughout the duration of the song. Sway your arm back and forth in time with the song and the rest of the crowd. Pay particular attention to the direction the people around you are swaying to avoid mishaps.
Remove your thumb from the pressure point on the light to stop the flame. Allow it to cool off for a few minutes before placing it back in your pants pocket or in a safe place in your bag.