My experience is basically the same as Donna's, although I'd say the
gent/lady statement is less of a "convention" than a matter of simple
practicality. It usually gets said early in a dance or when actually
necessary.
In a square there is also no real need for ties/bands/vests/sashes for a
simple reason: the set is fully aware of itself. Everyone can see all of
the couples upon squaring up; we help each other remember who does what
anyway. In a really scrambled set everyone figures it's a minor miracle if
something doesn't break down regardless, and that's doubly true in clubs
where people actively swap roles during the dance. If it happens, you just
regroup and try again.
The frequent "Aack! I'm a ____!" when allemande left or star thru are
called is pretty funny, especially since it often comes from very
experienced dancers...who then proceed to go the wrong way with supreme
confidence. (Callers are even more susceptible, since our line is, "Aack!
I'm a DANCER!!!")
Neal