But since most folks who should be thinking "witness protection" don't wind up headlining a dance band down at the Roxy, we guess he worked things out. Either way, Big Daddy (pictured right) is back, with the Roxy Kittens, the Swing Cat Band, and the feverish Lane Sisters, in Swingin' at the Roxy, an evening of jazz and jive, and a two-hour ticket to 1949, when Swing was King. Catch the gang this Saturday night at the Carrboro ArtsCenter, 8 p.m. $12/$10 gets you access. 929-2787 for details.