It depends on the context of the situation, but I guess I’d start by approaching them in a quiet moment when we are not being observed.  If I had something constructive to say, or something I felt would be beneficial to them, I’d say something like:

“When you did x, I felt y, so I was hoping for z.  Can you tell me what your intentions were with doing x?”
assistant
you could hand them a sheet of paper with written feedback, and express that to them in person.
assistant
how do you let someone on stage know that you are not happy with their performance?
user