If you and your groom are planning to make a grand entrance to a special song, discuss with your band what you want to do as soon as you’ve entered the room and are in the middle of the dance floor. We recently went to a wedding where the couple walked in and all of the guests were clapping in rhythm. The couple got to the middle of the room and stopped and they just started clapping along too. The band kept playing the song – I forget what it was – for a few minutes while everyone just stood there clapping and staring at each other. They obviously didn't no how to make a transition from one song to another.
Once you enter the room you can have the band introduce you for your first dance or a group dance for the bridal party or the whole room, but have a plan of action.
Also, know that you don’t have to make a grand entrance at all. You can enter the room with all of your guests and have the band either announce you for your first dance or announce a toast by a parent or member of the bridal party.