Did exactly that last week with no problem. The Jazz Café is open until 5, free to get in, free cloakroom, however they stop serving at 4. If the music is to your taste, the alcohol flowing and the people you are with on the same vibe, it's very easy to keep going until 4.45, when you can start the slow meander to the first train. If you run out of steam (read drunken joviality), it can seem forever waiting for that first train. In other words, keep drinking and dancing, and bring your life savings if you plan to be on the spirits all night.
Not sure who the artists are tonight, but you can check it out with this link:
http://www.montreuxjazz.com/2011/en/...reux_jazz_cafe
Don't forget to take a nice warm jumper with you for the ride home in the morning - you can leave it in the cloakroom and, believe me, it will come in very handy (I didn't and spent the whole journey back shivering in my t-shirt). If I hadn't gone last night and didn't have plans to go tomorrow I would join you! Have fun!