It is a polite and appreciative gesture to applaud the band before exiting the dance floor. They provided you with the music to dance to, so you should thank them.
I attended a dinner dance last evening, turned to applaud the band at the end of the dance and observed an unsightly etiquette faux pas. One of the guests joined in the applause, but turned to the other guests shouting, “Hurray for us! We’re wonderful dancers!”
One should never applaud themselves in any situation.