I know what your saying, You are there to entertain and amaze not "connect" with them.
Let me tell you a little story.
A mentor of mine went to see Penn and Teller in Vegas. I'm sure we can all agree that Penn and Teller are awesome. Anyway, after every show, both men go into the lobby and hang out with the entire audience. They don't leave until they and the theater staff are the last ones in the building.
On this particular night, the ushers blocked the path between Teller and a group of fans saying, "Everyone line up single file. Don't crowd the man."
Teller interrupted them, saying, "Hey... Copperfield would make these people line up to see him. [Screw] that. These people are my friends. Let 'em through."
P&T have a loyal fanbase precisely because they stay connected.