I'm not sure if Movie&TV is the right StackExchange site for this question, but I did not find an FX-site. Here goes:
In Gambino's SNL performance:
There are projectors of some sort, that create (the illusion of?) cones of spirals and spiraling dots, lines, and surfaces.
They seem to be 3D as in when he is standing in one of the cones, some lines pass in front of him, and some behind him. I do not think it is CGI, but I can't explain it with a usual projector with haze (even(however that would come to pass) a cone-surface haze) you would still have to project light into it, which would light the haze up along a line until it hit something opaque (body, wall, floor...) lighting that up in a spot, too, so if you fired the light in from the side, the haze would be lit up all along the path of the light, as well as in the case where you fired from the peak of the cone.
Is this some high-tech two-photon setup where you fire two invisible wavelengths, that have to intersect to produce a visible glow?
Is there some fast-rotating screen or string that's invisible in the haze?
Does it just look 3D and in reality is just a screen in front of the actors (made of gauze or haze) that is cleverly lighted?