The nice thing about dancing as a woman is it's a lot more acceptable to just let loose and have fun. If you don't know the style, just take a look around at the other girls on the dance floor and mimic what they're doing. I'm a terrible dancer in general but the few times I went clubbing while en femme, I had a blast. As far as how to handle yourself with a gentleman, the answer is simple, be a lady. Don't go off dancing with other boys, leaving him standing there holding your purse. Dance with him, or let him watch you dance if he wishes, but think of him as your dance partner for the evening.