not wuite the Cheltenham thing, there was a club called Time but it's been a while. Not sure the wine bars will be as accepting.
Time is now called Moda and its terrible! A real dive! But might be best option if you like cheesy music and are dressed up!
Subtone I doubt would let you in and I'm not sure about Blush either.
Theres a club called thirteen just off the main section which is ok. Again, not sure about the costumes, you'd have to check but would be a good shout.
Bars wise, head to the bottom of town as theres a slug and lettuce and few others which are ok. Don't bother with the wine bars as can be quite pretentious and they are extremely over priced (well over 3 quid for a pint almost 4 quid)