Consider The Venue
What I take into consideration first is the location of the performance. If possible, research the venue ahead of time. Try to determine the configuration/layout/floorplan of the place, whether the venue has assigned or general seating, and whether or not there are strict policies regarding security. So far, I've only gone to venues that are small (seat up to approximately 500 in capacity) and are lax in their security measures. For larger venues, Ticketmaster is a good research source to get info.
Consider Your Recording Gear
I haven't quite reached the "techie" status where I'm toting a bunch of audio equipment. My recording gear is rather sparse 4 items (KISS, remember?). I don't have as much to worry about (other than that I actually get the recording). Of course, this will change as techniques develop.
Dress Your Part
Should you have multiple pieces of equipment, this step would come into play. A good rule of thumb is to wear anything dark (black, blues, browns) to aid in concealing your recording gear. It's usually dark once a performance gets underway, so use that to your advantage. Now I'll be the first to admit that I like to look nice even when I'm going to watch someone else perform. I think the key here is to find a good balance between looking nice and being comfortable.
Time To Conceal
All right ladies. How many handbags and purses do you have? If you're like me, you've got plenty. Find one that is roomy, has multiple compartments, and made of a soft material (cotton, corduroy or the like is good) that you're not too terribly attached to. Then you're going to Get Crafty and modify this bag to conceal your recording gear.
The ECM-719 mic is rather conspicious, so I've fixed my purse so the mic is hidden in-between the lining of the purse. Depending upon the size of your purse, you could hide your MD in the lining as well. But I generally put the MD into the black carrying case and stash a bunch of junk on top of it. That way, if the bouncer or security guard should check my belongings, I brush off any concerns with the reply: "Oh, that's my cell phone/palm pilot." (Just as a sidenote: the Blackberry 6710 or a Palm Pilot is roughly the same size, if not larger than a MD). Just don't volunteer any info unless prompted!
To get your gear into the lining of your purse/bag:
Find the corners of the purse lining and turn the lining inside out. Tear a hole in the corner where the seams meet and return the lining back to it's position within the purse. Remember how I said to get a mic with a long cord? Well, that nice long cord comes in handy here. Run the head end of the mic through the hole of the lining and into the purse until you find a secure yet easy to reach area. My purse has two compartments on the front side, with flaps covering them. I keep the mic in the lining close to that area until I make it inside. If you don't have a purse/bag with compartments on the front like mine, look for other inconspicious
places to attach the mic. Another area I've tried to attach the mic to is on the handles of the bag, right where the bag handle meets the opening or zippered area. Sure, you may have to use your armpit to hide the mic until showtime, but whatever works.