“The OA” is just one of several unlikely projects from Heffington, who has emerged as one of the most in-demand choreographers in Hollywood. His eclectic resumé includes hit feature films, like this summer’s stylized action flick Baby Driver, elegantly wacky perfume ads and collaborations with numerous musicians, most notably the pop star Sia. His work on her 2014 music video “Chandelier”—one of YouTube’s most-watched videos—propelled him into a realm of visibility few dancemakers reach.