How can I retrieve multiple get_post_meta values efficiently?

The way your code is setup is just wrong, you are making two database calls for each custom field and if you have between 2-30 fields like this then that means you make over 60 calls to the database which can be done with a single call using get_post_custom()
for ex:

$custom_fields = get_post_custom($post->ID);
for ($i = 1; $i <= 30; $i++) { 
    if(isset($custom_fields["rw_setlist_$i"])){
        echo "<li>"; 
        echo $custom_fields["rw_setlist_$i"];
    echo "</li>"; 
    }
}