Joe Keefe, of the Martha’s Vineyard band Family of the Year, checked in with us from the set of Conan O’Brien’s show, “Conan,” last week. Keefe, whose band had played “Jimmy Kimmel Live!” the week before, told us that performing in front of late-show audiences is a unique experience, mainly because the crowd is pumped to be on a TV set. “There’s a good energy to it,” said Keefe. “Vibe wise, you just kind of feed off that.” Playing the late-night circuit has also given the band the chance to meet some cool celebs. On Kimmel, they met Boston girl Mindy Kaling. They wound up sharing Thursday’s “Conan” episode with Mila Kunis. Family of the Year plays the Brighton Music Hall on April 4.