A political rally should look like a political rally, with red, white, and blue bunting, streamers, and flags, flags, flags. The effect is in the small but telling details used to suggest, rather than create entirely, the setting.
Make a list of what objects and set features you would expect to encounter in the setting of your play, and pick out those which are most suggestive of that location. For example, suppose your setting is a hunting lodge. Your list might include rifle racks, wood paneled walls, mounted animal heads, a big stone fireplace, rickety old furniture, tanned skins, antlers, powder horns, spittoons, beer cans, etc.
You might not be able to do anything about the wall paneling or the fireplace if you're working in a fancy restaurant, so, let's make this an upscale lodge. Hang a few rifles and that big old moosehead, stretch a pelt across the wall, and provide some old furniture for the actors to use in a corner. Instant hunting lodge.
It doesn't take much, but attention to detail here will pay off in setting the stage for the action to follow. Remember that the setting should be designed to include the audience seating as an integral part of the event. Not just a hunting lodge, but one with a heck of a lot of tables and chairs and people.
When building a more exotic location, such as a circus backlot, it need only be suggested in order to build a prevailing mood. At one performance of "The Dying Old Man On The Flying Trapeze" inside a private home, circus posters, balloons, and stuffed animals were used for a whimsical taste of circus ambiance.
Creative costuming can sometimes be all that's needed to establish a setting. You don't need to see sawdust and striped canvas to think "circus" when a fully costumed clown is in front of you. Put your hunters in flannels and down vests, or Sherlock Holmes in tweeds and deerstalker, and you're almost there.
A slip up here may seriously damage a character's credibility. No one is going to buy Henry VIII in tennis shoes (at least not without a good explanation). But the right costume can give a character instant credibility with an audience. Put Henry in authentic period robes and everyone will know who he is before he has to say a word.
But no matter how fancy your set and costumes, it is still essential that the performers believe in it, so that they then can transfer that suspension of disbelief to the crowd by the way they look, talk, and act. Your characters are what will really create this new world out of the few hints your props and background provide.
Next Step: Greeting The Audience.
Costumes for all occasions.