What Catrin said, as far as direct deposit.

But as far as the W4 ... be very clear whether they're taking you on as an employee or as an independent contractor. I know basically nothing about taxes, but it seems to me that GFIs might be one of those situations where they could probably legally call you an independent contractor ... but then I'm sure you know that there are plenty of situations where businesses call their hirelings "independent contractors" where there's no way the IRS would allow it if they got audited. If they call you a contractor, it goes way beyond your having to pay your own quarterly taxes at self-employment rates. Will you be covered by their liability insurance? Will you be able to use their music performance license? Will you be covered by their workers' comp?