This one is a doozy and it’s not really covered in most style guides, so with the help of some friends and using my amazing powers of LOGIC!, I came up with the following:
When talking about the title of a dance, treat it as you would a proper noun, if it’s a specific dance that’s specifically choreographed to go with a certain song. No quotes or italics, as it’s not a song or album. Example: We all danced the Electric Slide when the DJ played “The Electric Boogie.”
However, you would not capitalize a dance that could theoretically be danced to any piece of music with the appropriate rhythm / beat. For instance, you can waltz to any piece of music that’s 3/4 time.
Hope this helps, and have a great afternoon!