My recommendation is
Finale PrintMusic. I have their 2006 version and I've used it for arranging wind parts for a musical, writing lead sheets for a band, and writing out a full piano part. It's easy to use and quite cheap ($100 US). I took a look at their other versions. Any of the better versions (Allegro or the full Finale) are more than you'd likely want. You might be able to get by with Finale SongWriter ($50 US); the main drawbacks of SongWriter compared to PrintMusic are that you're limited to only 6 verses of lyrics (maybe not a problem for your band), only get the Maestro font (the classical-style font; I prefer their Jazz font), and only 8 staves compared to 24 (maybe not an issue, but if you're trying to write out full parts, piano is 2, bass is 1, guitar is 1, drums are 1, vocals are 1, which is at 6 assuming you don't double anything). Either could be an option though.
What you *don't* want to do is go for Finale Notepad. It's dirt cheap but very, very limited in features, plus it doesn't have real-time MIDI recording (i.e. play on your keyboard to a click track/the existing mix of tracks and record the MIDI data as notes on your score).