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!!!")