When putting on a dance belt it's important to take the time to get all your male parts placed where you want them, as comfortably as possible, because once it's on, nothing is supposed to move until you take it off. Sometimes there will be minor internal slippage inside a dance belt as you wear it, but too much shifting indicates a bad fit. You may have to try different brands and sizes to find the one that works best for you.
To put it on, pull your dance belt up over your hipbones, to the height you normally wear your pants. Do not try to cheat by wearing it low, hoping to avoid thong tension. Your penis is supposed to end up facing up towards your belly button, so you can get that process started by letting the dance belt catch it as you pull it on.
Next comes the process dancers call the "swoop and scoop":
Reach inside the dance belt and pull your scrotum up inside the pouch. Your testicles need to be up and front, above the crotch line and well clear of their usual dangling position. Adjust your penis position to face straight up. Then, make sure the pouch isn't riding too far up in front by pulling the pouch's bottom back down and back. The pouch bottom should meet the thong at the perineum (the very bottom of your crotch, also know as the 'taint', because it "t'ain't your balls and it t'ain't your ass"). Make sure the thong is firmly seated between your butt cheeks, pulling any looseness towards the rear waistband. Again, don't attempt to cheat by letting the thong float loosely. It's going to end up as far up your crack as possible halfway through class, so you should place it where you want it to go rather than leave its comfort to chance.
At first, you can expect some discomfort wearing a dance belt. However, a properly fitting one will soon stop bothering you and you will come to appreciate your ability to let loose, jumping and leaping around with wild abandon, knowing you won't feel that painful bounce when you land.