"Went in the evening to the pit with Mrs.Lukin" (the wife of his half-brother).

"After the play, went with Miss Kemble to Mrs.Siddons's dressing-room: met Sheridan there, with whom I sat in the waiting room, and who pressed me to sup at his house with Fox and G.North." Assuredly "the play," not less than the pit, was more highly regarded in Windham's time than nowadays.
Though apart from our present topic, it is worth noting that Windham may claim to have anticipated Monsieur Gambetta as a statesman voyaging in a balloon.

Ballooning was a hobby of Windham's.

He was a regular attendant of ascents, and inspected curiously the early aerial machines of Blanchard and Lunardi.

Something surprised at his own temerity, he travelled the air himself, rose in a balloon--probably from Vauxhall--crossed the river at Tilbury, and descended in safety after losing his hat.