There are a number of reasons to become your own Not-For-Profit organization/corporation for your ensemble. Unfortunately, there are a lot of misconceptions about doing so, as well.
Some people think that you will get special tax breaks, you will suddenly get sent checks from everywhere, or that your Board will force you to do things that you don't want to do. Some think that you will not be allowed to get paid for what you do as a group.
In fact, becoming a NFP corporation does three things. First, if a donor wants to give you money, THEY get a tax deduction. Second, your organization becomes technically eligible for some government and foundation grants (assuming that you meet all their other qualifications). Third, it gives you credibility as a business organization (as opposed to whatever reputation you have as performers).
A Not-For-Profit does not pay taxes on income, but as an employee of that NFP, you do, just as you would if you were working for a for-profit business. Unlike a for-profit, your Board Members are NOT allowed to be paid for their services as members of the Board. They are, however, allowed to be paid fair market prices for work they do (as performers, for example).
The only people that are likely to give money to your NFP are people that probably wanted to give your ensemble support anyway. The NFP gives them the organizational platform to do so.
If you develop your board correctly, it will contain only people that believe in what you do, and hope to support your mission. A Board member that becomes disillusioned will probably simply leave. By the way, it is generally not a good practice to have too many (if any) ensemble members on the Board. Remember, the Board needs to support your mission, and ensemble members generally don't prove to be able to donate to themselves. The NFP is a way of involving the community in helping with your mission (you don't need a NFP if the only people on it are already in the ensemble).
It takes some work to establish a not-for-profit organization, and a little more to become a full-fledged NFP corporation. You may be able to get some pro bono legal help. The work, however, will pay off in the long run. The Amherst Saxophone Society, Inc. received approximately $xxx over a xx year period that would not have been available if we were not a 501(c)3 Not-For-Profit corporation.
The sooner you establish your NFP, the better. Most grant-makers (government, foundations) will not consider your applications until you have a corporate record of several years. Even if you have been a performing ensemble for years, your eligibility is based on the financial records of the NFP.
For more information, Chamber Music America is an excellent resource. We highly recommend joining the national organization of what we do.