The main thing, to remain compliant with the law, is to get permission to use the tunes. It is a fairly simple task, and is pretty much a formality with most tunes (it's not like synchronization rights or film use), and most reputable replicators won't even work on your disk without them having been obtained (liability issues for them, too, I suppose).

But if your audience is into you and your act, even selling only two or three a night can bring in a little extra money, and every little helps..! Mostly, it depends on how much you can put into recording, artwork (they sell better when they look professional) and volume of printing. Obviously, a thousand copies are going to cost you less per unit than a hundred. Don't small-time yourself too much, or you might start to think it isn't worth it.

But my duo's CDs, and other merchandise we sell (T-shirts, etc.) can bring in several thousand extra a year. We just keep it in a separate account, and just split it up at the close of the season. It makes for a VERY nice little 'bonus' at the end of the year...

If you look at the long picture, the initial investment is trivial. Just make sure it is very well recorded and mastered, and a selection of tunes that your audience (NOT you!) like best, and you will be able to hawk it from the bandstand with honesty, the best way to have success selling something...!