NEW YORK — The richness of Sufjan Stevens’s work feels at home on a stage. His 2007 project, “The BQE,” an ode to the Brooklyn-Queens Expressway, was a mixed-media exploration that debuted at the Brooklyn Academy of Music, complete with projections and synchronized hula-hoopers. Now, Stevens’s “Illinois” album is in three dimensions, thanks to a kaleidoscopic collaboration of movement, theater and music.