No one will hold you responsible for performing copyrighted material. Most performance venues are ASCAP members (or BMI). Their yearly dues to those organiztions cover the cost of live performance of copyrighted, published materials. The big publishing companies pay out royalties for broadcast performance published materials based upon sampling they do of the airwaves. If they hear your song so many times represented within their sample, then they see that you are paid for the performance of that song based upon that sample rate.

In short, don't sweat it. The clubs pay the publishers through their annual dues. If they don't, the publisher police will kick their door down one day soon, and beat it out of them!

If you want to be doubly sure, and think you may be playing clubs that don't pay their dues, join ASCAP and/or BMI your self. But, the publishiers don't go after performers, they see the clubs as responsible, and have reason to believe they will be more successful leaning on the clubs then on performers.