is it ok for a married man to go there with another woman ?
Yes (for Bliss Out), because they don't care about the private/personal affairs of members.
And if they know you, because you come several times or frequently, they can allow you to bring a guest without her becoming a member. That is "case by case" and up to the manager.
Keep in mind that each happening bar has it's own policies or idiosyncrasies. Consequently, what applies for a particular bar, may not apply for a different bar.
I mean do they take the ID informations or something ?
If you are a member, they may allow you to bring a guest in without her registering as a member. This courtesy isn't extended to female members with male guests (as men pay more for membership), and they have to register as members. Also, you may still have to pay the new member fee for your female guest and if they are suspicious that she's underage then they will check her ID. If she has no ID, she won't be allowed in.
This is more a favor (non registering of female guests) from the manager, then it is standard procedure, and is subject to you being a regular, him trusting, or doing you a favor.
Even if they force your guest to become a member, they don't give out member info to 3rd parties. It's more a matter of making sure guests are of legal age and won't cause them problems like fighting or damaging property inside the bar.