Export participants with Membership data
Perhaps a slightly less cumbersome approach might be to create smart groups for the participants in each event for which you want to pull this information (that might be a useful thing to have in any case - for example, if you need to email your participants), and then run a membership report or search for contacts by event participant group.  You might even be able to get around the need to create multiple lists by trying the "Contribution and Membership Details" report, searching for people in your group with event fees (if you're charging for the event) and pulling the membership details for those folks.

Lesley