Both the Orpheum and State Theatres are accessible through skyway on those days were you don't feel like dealing with the weather outside. To get to the Orpheum through skyway find the path to the Hawthorne Transit Center. The third level of the building will be connected through skyway and will lead you to the balcony level entrance of the Orpheum Theatre.
The State Theater is located in the LaSalle Plaza building which is also a skyway connected building. Follow the way there and once you have reached LaSalle Plaza just take the escalator/elevator down to street level.
Signs will be displayed along the skyway system to get you where you need to go, but for more information check out our Minneapolis Skyway Guide.