Everyone gets the urge to cough now and then. The less worried you are about coughing, the less likely you are to feel the urge! So chances are you’ll feel less need to cough if you are prepared.
If you have a cold take some cough medicine in advance and bring unwrapped lozenges with you. Have a few handy when the music begins.
Try to ‘bury’ your cough in a loud passage of music. If this is impossible and you begin to cough a lot, it’s perfectly acceptable and appropriate to quietly exit the concert hall. The ushers will tell you when you are able to re-enter the concert.