I've never belly danced, so I don't know how much of a sweat you really work up, but I used to fence. Fencing, for those who don't know, requires you wear a lot of warm clothing (for padding/protection) and a mask. This means you get really, really hot. I just *had* to wash every day I fenced. My hair loves soap and being washed, so I can't relate too much, but I bet a CWC routine would really help your hair. Also, you could try and find a gentler soap for you work out days. Gentler more often could be better (or at least hopefully no worse) than just twice a week (or whatever amount you normally wash) with a harsher soap.
It may just take some time for your hair and scalp to adjust to having to wash more often.
One thing I just thought of! I read that people who go no 'poo sometimes use some baking soda to absorb the excess oil between washes. I would find some no 'pooers and figure out what they use. It may work better for you than washing more often.
Good luck!
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