No, there is no footage of Baby Doll dancing. The idea was that you would never see it, so I don't believe they filmed anything other than the swaying she does leading into and out of a dance.

I have to say, I do think the approach you're looking at makes very little sense. The girls are mega-super-action heroes who fight robots, giant samurai, orcs, and dragons with a vast array of weaponry, but are unable to escape from one little mustache-man?

That's not to hate on it, just how I feel. :)