The problem in 'identifying' non-binary characters to the audience is that 'they' is not solely used to refer to a NB person - in fact, the vast majority of usages of 'they' have nothing to do with NB people.
It's also used in the plural, or for a general person of unknown sex (e.g. 'each customer must show their ticket') and also - increasingly, especially amongst younger people - to refer to anybody who is very clearly male or female and doesn't claim to be anything else but 'just because'.
Even if you manage to catch another character saying 'they', it isn't always obvious that they are referring to a single person who identifies as NB. In general, it will detract from the quality or watchability of a film or play when things have to be deliberately spelled out rather than communicated and understood subtly.
It reminds me of those old-fashioned newspaper cartoons where the whole gag hangs on you knowing that one of the pictured people is, say, a magician; and the only way the cartoonist can easily communicate this to you is by giving the person an unnecessary suitcase improbably labelled 'The Great Marvo - Magician'.