Why to tell? Why not to tell? Please consider the following:
Do you work under a contract that specifies that you must divulge any other income streams?
What will the consequences be if you fail to divulge this additional income?
What will the consequences be if you do divulge this additional income?
What are the chances that your boss will find out anyway? For instance, he attends an event you are DJing or another employee tells him what is going on.
Is there any way to drop a subtle hint? For instance on Friday when people are discussing their weekend plans you could say "I am going to DJ a birthday party on Saturday night."
Finally, if you believe that there may be legal ramifications, you should discuss the specifics with an attorney who specializes in labor and employment.
Wishing you the best of success with the DJ business.