Here’s the irony: the Royal Albert Hall is a circle. You can literally walk around it in under three minutes. So if you miss the main entrance, you’re never more than a very short walk away from another door.
That said, know your door number. Your ticket says something like “Door 2” or “Door 12.” The hall is divided into sections, and walking up the wrong staircase will make you climb extra floors. Save your legs for the interval drinks.
If you arrive by tube at South Kensington, you’ll naturally end up at the main entrance (Door 1 or 2). For the Stalls or Arena, go straight ahead. For the Circle, prepare for stairs—or use the lift if you find it.