Balcony sessions could be many things. It could refer to the placement of the band; that is, they would play from a balcony, probably a raised platform on the outside of a building. It could also mean the audience sits in the balcony only, or perhaps simply that the band plays in a building which has a balcony. Probably it means a kind of informal concert with little promotional advertising. "Up and coming" means that the band is gaining popularity. They are becoming more and more successful.