load ur instruments on X-amount of tracks in Live, and then just arm the track that you want to play just like you do in Reason, not sure how it is harder in Live then in Reason, when in both all you do is arm the track you want to play. if you have a new enough version of Live you can use rex files directly in there instead of having to rewire a dr.rex. the headphone volume controls the metronome volume in Live, i think you can play with the routing on that and ur interface (and the front of house routing with the help of the sound man) to get the click to come thru the stage monitors. the tempo problem is not going to help the samplers in Reason since they don't lock to tempo, only the dr.rex does when there is midi in the sequencer, plus if the there is alot of time between the rex slices, they'll eventually go off beat if the tempo goes far from the original tempo. honestly, doin as much as you can in Live will make your stage life easier, Reason is a great, but Live is better for live performance, hence the name. i'm not sayin you can't work with Reason on stage, but unless you do a lot of prep work and things (ie; the band) stay on tempo, your going to have some less than smooth moments. if you have samples to trigger, dont' bother with a sampler at all, just load them into the cilps in session view, you can't beat session view especially when triggering loops.
Trust me, I know what I'm talkin bout! check my history: