Before the show starts, set up your equipment. If you are recording at a venue with a PA, where individual instruments are miked and amplified through the house sound system, talk to the sound man about running a line out from his mixer into your audio interface. Many clubs won't agree to do this for legal reasons, but it's worth a try.
Place one or more mics at different locations in the room. If you are using only one or two mics in conjunction with a direct line in from the house PA, place them at the front of the stage, about 5 feet away from the amps, drums, etc.
If you have more mics at your disposal, experiment with close-miking individual instruments. This will give you more postproduction control.
You can experiment with capturing the room sound by placing one or more mics farther away from the band.
After you've recorded the show, listen to the recording on good speakers. Mix the levels of the different tracks until they sound right to you.