I've done that several times. It is, indeed, a lot of fun.
I have a very strange (but true, swear to God) story about that...
I was dating a beautiful black shemale named Shay (see attached picture). A friend of mine, who is a schoolteacher, wants to become a stand-up comic. So she invited me and "that Shay girl you keep talking about" to come see her perform at a club in Houston. We met her backstage and were talking. She said that Shay looked very familiar and Shay said the same thing about her.
After her set, all of the male comics were after her to introduce them to Shay. They were all green with envy over my beautiful girlfriend.
After we left (Shay had to bring her own car, as she left from there to go to work as a nurse at a hospital.), my friend came running out of the club and flagged me down as I was leaving the driveway.
She said, "I know where I met Shay! Did you know that she's a guy??"
"Yes," I replied, "but I felt that was up to her to say if she wanted you to know."
My friend said "I taught her 10th grade English years ago! That's how I knew she was a guy."
