It sounds counter-intuitive but it serves many purposes. there won't be any second-wave of anxiety about playing "The hard stuff" and your band will be more confident after nailing that song.
Once you get past the first couple songs and people are clapping and cheering, it's completely amazing! Don't be nervous, if you are you'll probably speed up the tempo haha. Well, that's what I do if i let myself get too nervous, I play the song way faster than normal! So just relax :P