After her Wednesday night performance in "Sing, Mahalia, Sing" at the Warner Theatre, Marva Hicks joined old acquaintance Lena Horne for a late supper and champagne. Morton's stayed open late to serve the singers, their escorts and Hicks' father. Horne, who attended the show that evening, complimented Hicks on her performance. . . .

George McGovern, a former presidential candidate and U.S. senator, plans to build a $2 million athletic club in Naples, Fla., said Buddy Pack, a spokesman for the club. The Collier Athletic Club will be built on four acres and about 500 memberships will be sold, Pack said Thursday. Construction should begin this fall and the club should open by next spring. . . .

Mikhail Baryshnikov will dance the lead role in American Ballet Theatre's "Giselle" when the ABT company performs at Wolf Trap in August. He will dance in two of the four scheduled performances; the ballerina for the title role will be announced later. . . .

Penthouse may not be appropriate for beauty pageant contestants, but apparently it's okay for the mayor of New York. Ed Koch says he's thrilled by the magazine's illustration showing him nearly naked in a King Kong crouch atop the Empire State Building. "I love it. I never looked so good," Koch said of the drawing. "It makes me into the No. 1 hunk in the United States." The mayor says he may even use the drawing in his reelection campaign.