How to streamline setting up a multi-day class
One solution might be to create a custom field for participants with check boxes for each day. Then you could record attendance without having multiple events. You could use the Batch Update via Profile feature to make recording attendance easier for you staff.

Not sure how many events or exact setup. If you use a generic field labels (Day 1, Day 2, Day 3, etc.) you could re-use the custom field and not have to create ones for each event.

Hope this helps.