In part as a response to this thread, I recently went to my unemployment office when my part-time day job began to wane and I found myself still in between gigs after a few months. This is something I should have done long, long ago, but I just finally got around to it.
I ran into one small snag, and thought it might be useful to post it here with the other pieces of advice. I also have learned a bit already, and have a bit of advice of my own that I wish had been given to me.
I am of course going off of my current state's rules (Illinois), and this may not be the same everywhere - but i think it is important to ask.
First of all, you may be able to collect partially even though you're working part-time. I had avoided unemployment b/c i had a part-time day job outside of my theatre jobs, and though that exempted me from receiving benefits. However, because unemployment is based on your past work history, if you are used to working 2-3 jobs and one ends (your show closes), unemployment may still be able to supplement your income when you are not working as much as you are used to. To put it in simpler terms: if you usually make $100/week at office job part-time AND $200/week at theatre gig full-time; and suddenly that full-time $200/week gig is gone, that's loss of work that unemployment might be able to compensate. As long as office job doesn't give you a raise and bring you up to full-time status, you may still be eligible to collect as part-time b/c you are working below your means. Most jobs would be happy to give you more hours and more work, but since that wasn't the case with me (there just wasn't enough work to go around), I am able to collect unemploymant as long as I remain part-time and continue to make less than I am used to.
Although this is pretty great, it's also where I ran into a little snag called "independent contractor." There is a big difference between "independent contractor" and "employee," so if you do any 1099 (fee) work, make sure you specify that in your claim. Your claim should be based on the last job you held as an "employee" only - this is when there are many federal and state forms to fill out and taxes are taken out of your paycheck. If you do both kinds of work, like I do, make sure the office is very clear on the distinction. I found out the importance of this distiction the hard way, and nearly got my part-time job into trouble...
Ultimately, what I discovered in going through this process, is that I should have done it long ago. Once you have filed for unemployment once, it is easy to re-apply (in the same state at least). If I had started when my first AEA gig ended and I was between gigs with no work, the transition would have been much smoother, and I could have been collecting on and off for quite some time now. If you think you might be eligible, apply and see. Once you learn how it's done in your area, you can re-apply when you need to. Unemployment (for us, at least) is inevitable, after all.