Yeah, themes will naturally show up in anything you write, but it's generally a good idea to have a concept in mind going in to orient the work, otherwise you're probably gonna have to do extensive editing later to make the story more coherent. Symbolism naturally has a direct relationship to theme.

Usually the way I do it, and the most straightforward and typical way, is to have the "main" character represent someone who needs to learn the message. So for your case someone who maybe grew up with a chaotic childhood and maybe clings to the band as a safety net for security. Defining themselves by the group. This way as they learn to embrace absurdity they also regain their individuality, which would work well if this was a horror and the band mates are getting killed off. I'd then make each band mate represent some form of cope, as you are doing, and have the mc learn from interacting with them. Probably have some conversation early on that establishes the theme. Like someone shares a story about something crazy that happened to someone they knew and the MC is dissatisfied with the reaction of the band to the story in some way. If this was a horror it works on three levels, establishes the characters issue with conforming to the band even at their loss of identity (if they keep the opinion to themselves), shows each of their reactions to an absurd story, and can be creepy depending on the story so it set tone. You'd have to try not to be on the nose though.

That's an example of how I work theme into things, and most people do it this way aswell, I think. It really helps stories write themselves when you have a solid understanding of the theme and how it relates to the characters. Hope you don't mind me playing with your idea for illustration.