The first and most basic step is incredibly basic -- you say, "This is the name of the corporation, this is where it's located, these are the people doing the incorporating." It's just a form you fill out at the secretary of state's office. I can't tell you all the details of the Ohio form, but if you get your secretary of state's website (try Google) you should be able to do it there, or find a number to call someone who'd be happy to help.
Then you request a tax ID number at
https://sa1.www4.irs.gov/sa_vign/newFormSS4.do.
That gives you enough to get a bank account in the name of the band instead of any individual member's name. Then if you get a new person, someone quits, etc, you don't have to deal with moving money or changing names.
Every time the band gets paid, save some fraction -- I'd recommend anywhere from 10% to 50% -- in the bank account instead of splitting it out among band members. This not only can be used to pay for stuff that should rightly belong to the band (sound equipment, recording studio rental) but will help you save up for a lawyer.
You want articles of incorporation ASAP. The creation of an LLC will help quite a bit in protecting you, but they're still relatively easy to pierce. The articles are what make or break your ability to say, "Hey, dude, you have to sue the band, not me."
Just my advice. Be aware that I'm not a lawyer or an accountant.
Amanda