Hello - I will be shooting a live show and would like to get direct audio feed into my NX5 camera.
Can someone please tell me what settings to put and how to connect?

Thank you very much.

At a first glance, it looks so easy that i'm probably misunderstanding your questions.
It depends what kind of live feed you want to shoot and which equipment you are going to deal with. I'm just thinking at a stage with a sound reinforcement thus a presence of a mixing console. When I'm right you need to set your camera inputs to line and plug them with the line outputs of the console. Actually o do not remember whether the nx5 has 0 rather than +4dbu line inputs. The best is to have them matching together otherwise you'll get into distorsion issues.
What you need is just a standard xlr cable long enought to reach your shooting location from the sound engineering point.
Hope this helps.

Giampaolo