If in doubt, I watch the guitarist's fingers. I know just enough guitar to tell what the fingering patterns look like (the G chord looks something like the universal hand signal given on freeways everywhere, for example).You can also, if you have the ear for it, pick out a certain note from the song and lock into that. I can usually "hear" the V note fairly quickly; then I'll grab a harp and, off the mic, hit a fast 1 draw. If it matches, I'm in.
Then, you can always ask. Or, if the guitarist is hip to working with harp players, he'll tell you what key he's working in. (Some will try to be extra helpful here: "I'm in G, so get your C harp." Great intentions, but since I already made the conversion in my head, that's a fast way to screw me up.)