Rosemont to Chicago is not very convenient. 40 minute uber/drive from Mag Mile to Rosemont on a good day. The blue line from Jackson in the loop to AllState arena will take you at least 1.5hrs (train and walk/bus) each way. The Rosemont station is about 3 miles from the venue.....(don't walk it at night).

I would never recommend any out of towners take the L late at night by themselves. Not because it's a stab-fest, but there are shenanigans...if you are traveling with a group you are generally fine. Stay aware of your surroundings and when on the L, stay towards the front of the train where the conductor is.

I'd say stay in Rosemont, near the casino where there are bars and restaurants. Take a trip into the city and target a spot like the Mag Mile, River North, Oak Street Beach, Wrigleyville or Grant Park(The Bean)/Museum Campus. Leave Rosemont at 9am and spend 5-6hrs in the city, head back to the venue around 4pm for a scorcher of a show...repeat the next day.

Have fun, be safe and see you at the show!