Go here and there in European capital, in the auditorium (4)
I believe the answer is:
roam
'go here and there' is the definition.
(I've seen this in another clue)
'european capital in the auditorium' is the wordplay.
'european capital' becomes 'rome' (capital of Italy).
'in the auditorium' shows a homophone (sound like) (ie as heard on a stage).
'rome' is a homophone of 'ROAM'.
'in' is the link.
(Other definitions for roam that I've seen before include "Move about aimlessly" , "Prowl" , "Wander about aimlessly" , "Wander widely" , "range" .)