Remember number 2: empty that bladder! Do not drink caffeine while at the gig. It is a diuretic. It makes you piss.
Both of the above comments assume you're stealthing, which of course, if you go with something like a Core Sound mic and MD recorder, you'd probably be doing.
Regarding MD, I'd recommend lossless recording and go with a hi-md player/recorder. I may sound like a used-car salesman with that recommendation since I have one for sale for cheap, but they are a low-cost entry level recorder and you can get high-quality lossless recordings from a hi-md recorder that fits just fine into any pocket since the MD player is so small.
BTW, the standard warning here is that if you have any fears of getting into this hobby BIG TIME, don't even start, because you're at the same point as 100% of the rest of us were at some point...looking to get into this hobby for relatively low stash. Course, as we can all attest, it ain't long before you get bit by the bug and end up spending all of your life savings on tickets and taping gear and spending lots of time worrying about getting fired because you're reading TS.com when you should be working.