OH!OH! I know all about this sort of thing! [Benefit of being a double major in Music Marketing where we learn all about copyright, performance rights etc.].
Keep in mind, but this is all about American Copyright. The laws are slightly different in other countries, but they are still regulated by ASCAP, BMI, SESAC, and the respective publishers that own the music copyrights.
It is fine to make and perform arrangements of your own regardless of copyright as long as no one is making a profit. As soon as you start making a profit, you have to have gotten permission by the copyright owner to use the created arrangement. Even though it is an arrangment, it is still a version of their written material.
Copyright ownership is currently: The life of the composer plus an addition 70 years. After that, it becomes public domain. And I believe that anything written prior to 1909 [ I think… basically anything prior to 1900 to be safe] is in the public domain as well. If those criteria are met, then the only portion that can be copyrighted of an arrangement of the music is the actual typesetting/written edition [font, specific formatting, etc.].
If you are performing a piece at a gig, and you know for sure that the piece is currently copyrighted, then you should check with the venue about their licensing. If the venue doesn’t have proper licensing, they can be fined for the lost performance royalties to the composer. But, this is also dependant on the type of gig. Usually, this is only an issue if the venue is making money off of your performance [bars, restaurant, etc where the music attracts customers]. Weddings/receptions etc. are usually safe because it is a non-profit event.
In a nutshell, copyright is normally an issue ONLY if money is being made at the venue/event. Performance royalties [from where the performer plays the piece at the gig] are generally covered by the venue’s licensing fees with BMI, ASCAP and SESAC.