Before going on stage, it helps if you meditate on your breathing. Slowly inhale and exhale air for a few minutes. This will calm your mind and relieve the anxiety and pressure you are feeling.
Another technique: Forget about everyone in the room… and just focus on whoever seems to be enjoying your music the most. Just play for that one person. Try to connect. If you are able to connect with that one person, you will also connect with everyone else. :)