I remember something very valuable someone said in training "there will days that will be absolutely fantastic and the next day, you'll wonder what you were thinking when you decided to come in the first place". This couldn't be more true. Like another person said, get into a routine. Also, if you can, get a bicycle -- I did and it's been great for getting around my neighborhood and just exploring not to mention transporting groceries.
As there are so many styles of dance, I'm not sure exactly which you are referring to but if you're into clubbing, the major cities like Seoul, Busan, Daegu and Daejeon have it. I love salsa and so far, I've found spots in Hongdae (Seoul), Daejeon and over the summer, there was a salsa on the beach event at Haeundae in Busan. So I think with a little bit of searching, you should be able to find activities to get in to.
Lastly, make friends (both expats and Koreans) because they will help keep you sane when things get overwhelming.