Incorporating a club is a good way to insulate members of the club from any personal liability. If, for example, you're running a baseball league for little kids, and someone gets hit in the head with a ball, the corporation is responsible--not the personal members of the club. It's fairly easy to incorporate a club, but it does require a significant amount of paperwork, and someone who's willing (and, perhaps, enjoys it) to follow up with the paperwork.
Draft the mission statement of your club. This is an important document to help you get on your way to incorporation. It helps you clarify your goals as a group, and puts them down on paper. It's also a good document to have at the beginning of any handbooks you might write and give out to new members.
Recruit board members. Your new corporation needs board members. Your local Secretary of State's office can tell you how many your state requires. Find board members who're, ideally, vested in the interest of the success of the group, yet diverse in their skill set.
Write your articles of incorporation. You can obtain an example from your Secretary of State's office. Ask a lawyer to help you if necessary. You'll need to write the official name of the club; the "office" address of the club (this can be the home of an officer or a P.O. Box); the name of your agent and his address (he must be a resident of your state); the name of the incorporator and her address (this can be any board member willing to keep up with the Secretary of State's office) and a list of all of the officers and their addresses.
Send the articles into the Secretary of State's office with the appropriate filing fee.
Get an Employer Identification Number (EIN) from the federal government. After you have your certificate of incorporation, you can get an EIN, a corporate bank account and insurance for the club.