Are these covers of other people's songs that your band is actually playing, and not the songs as recorded by the original artists? If so you're in really good shape. It's the recorded material and making money off of merchandise that isn't licensed to you that causes problems. Any fans of Metallica know full well how successful Lars Ulrich has been in making their licensed stuff unavailable for free download.
Even still he was gracious enough to offer the services of Metallica's own legal team in defending a parody band named Beatallica (http://beatallica.com/). He just didn't want people profiting off of his material. If these are covers, you have a lot of protection in the name of artistic license and such.