Assuming you want to control your lights with your IR remote and use dimmers with scene capability:
You can leave one activity, say "watch DVD", and enter another activity say "control lights" and do all you want to quite well from the remote. After you are done with the control lights activity you simply return to the watch DVD activity.
When you set up the control lights activity you tell it you do not want to turn off unused devices. I use this method just fine.

Regards,
Ela