Definately recomend La Vie En Proost, they even have a web site in case you didn't know at
http://www.lavieenproost.com/intro.html . (Both girls shown were still there when I went last year - can't remember their names though). I assume entry fee is still 5 euro's and dances 10 euros (or 20 for a "special" as they call it), 35 euros to buy them a glass of water (sorry, I meant champagne) or 15 to buy them a cocktail - one of them tried to get me to buy them one of their 100 euro bottles of champagne - ouch!!!. I doubt being in a large group will cause you problems. Drinks are expensive, I think it was 5 for a beer, 6 for a soft drink.
I usually use this place as the bread to make my "RLD evening sandwich" - if you know what I mean. But plenty of reports on this place, just use the search engine.
I prefer the Moulin Rouge to the Cassa Rosso, less of a tourist hot spot I suppose but all the usual live acts, audience participation, etc. I think when I was last there they gave you tokens to exchange for drinks.