You're question isn't really that uncommon, nor is using an alias to some degree within the lifestyle. I think most people tend to use some form of alias online (whether only going by their nickname or using their initials only to sign emails when communicating with people they don't know yet. As far as using an alias at the clubs, as someone else pointed out most clubs will ask for your ID at the door (this is a legal issue so just expect it) and the name on the ID needs to match the membership info they have you fill out (again for legal purposes - they are a private membership club and therefore need to have accurate membership info). That said, once you get inside the door how you introduce yourselves is completely up to you.
There are a couple of other threads about the use of alias names that you might find helpful as well.
Alias Names Do you use Alias Names