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.
In reply to:
From: http://en.wikipedia.org/wiki/Beatallica
On February 17th, 2005, a cease-and-desist notice was sent to Beatallica by Sony/ATV Music Publishing, a company which holds rights to most of the Beatles catalogue. The notice states that the "music", "news" and "merchandise" sections of the official Beatallica website constitute a copyright violation and should therefore be taken down. In response to this, a petition requesting Sony/ATV Music Publishing to retract its threat of legal action was created. The band was saved from further legal action by Metallica drummer Lars Ulrich, who offered to provide assistance with legal negotiations and also asked Metallica's longtime attorney to try to defuse the situation with Sony. Ultimately, Sony decided not to pursue legal action against Beatallica, but maintains the right to do so in the future if necessary.