Another idea: when he asks you to dance, turn him down! Just make sure you don't accept another offer to dance during the same song.
I know guys like this. They think any action from you indicates you must be totally in love with them. You have to stop this slimeball in his tracks. The first step: DO NOT DANCE WITH HIM ANYMORE. Second, DO NOT ACCEPT ANY INVITATIONS TO HIS HOUSE. Even if the wife invites you, DO NOT ACCEPT. That is asking for trouble and telling this man that you are interested in him. I know these seemingly innocent actions on your part are just that--innocent. But creeps like him will misinterpret innocent actions as that of being interested in having an affair with them. Guys like him are only thinking with their D*CKS.
I would not stop going to the studio just because of this horndog, but again, you should stop dancing with the guy. And repeatedly dancing with this man is even worse. Right now this deludenoid thinks you are totally in love with him, even though you are not offering any encouragement. Just the fact that you keep on accepting his offer to dance is enough encouragement in his eyes. If you are forced to dance with him (like a Jack & Jill or snowball), and if he gets fresh, like the other poster says, firmly tell him he is married and that you are NOT interested.