I didn't say it couldn't be done. Just that I can't. I am not sure it is a skill that just anyone can develop. I suspect there may be a natural knack requirement. I could well be wrong though.
It is absolutely a skill anyone can develop, it just requires practice. Something I would recommend snowdragon
, is to find recordings of pieces that you have sheet music for. Practice following along to the recording, and by this I mean trying to match what you are seeing on the page to the notes you are hearing, rather than playing along. I think this is a better bet than bringing sheet music to a performance, as you can pause and rewind as need be, and you will not be disturbing the performers.
I would also suggest just trying to train your ears to pick things out. Get some good recordings of orchestral or wind band pieces, and try to pick out different instruments and lines while listening. Try to practice active and analytical listening, rather than just enjoying the sounds.
Next, I found a Youtube channel that seems to have a good selection of music theory videos, http://www.youtube.com/user/musictheoryguy
. I haven't watched through them, but it seems pretty comprehensive. Try watching them, and then, and this is the most important part, start looking for those things in the pieces you are playing and listening to.
Find someone to play duets with, outside of your lessons, on whatever instrument you want. The art of playing a line and being able to listen to how another line fits in with it is an invaluable skill. It is kind of like learning to drive a car. At first you are so overwhelmed with the basics (speed, position in your lane, mirror checks, or pitch and rhythm) that you don't have any attention left for the subtleties (planing your route to deal with an accident, or altering your pitch to better fit the chord). As you make the basics more and more automatic, you have more brain power left to deal with the little things that make you an expert.
I've been playing various instruments for over half my life, and really the best advice I can give you is to listen. Listen to yourself as you play, and listen to others as they play. What do you hear? Listen to the notes, the rhythms, the phrasings, the timbres. Listen to monophonic pieces (with just one voice), and then polyphonic pieces (with more than one voice). How do the parts fit together? How do the timbres compliment each other? Can you hear similarities between different pieces? How can you tell if a piece is ending? What happens to make you think that?
Best of luck. This is an amazing journey you have embarked upon, and I hope you will have as much fun with it as I have.