As Paul says, there are many things to consider if you wish to go down the Company limited by Guarantee route. Choosing the initial members and Directors being one of them.
You would have to prepare accounts and file them at Companies House. This means an annual expense. Against that, the individual members of your club are not exposed to unlimited liability as they are now.
Creating the company is not a major expense, but you would have to have a new constitution. Check out West Midlands Woodturners who have already gone down the Ltd by Guarantee route.
BTW Paul should be able to help any club considering this as on 9th July 2012, the AWGB was registered as a Company limited by Guarantee.The constitution run to 55 pages so it is not a quick read!