Most touring type bands will have an LLC for tax and insurance purposes, and there are accountants out there that cater specifically to musicians and entertainers, but keep in mind you also have several streams of income (record sale royalties, touring revenue, merch, if you're a big star you probably have other things going on too), so it's definitely easy to lose track of if you're not on top of it. It's not like everything just goes to Atlantic or something and they just cut you a check every month and hold your taxes for you.