COLONEL E. M. GREGORY'S REGIMENT.--This regiment, now on the eve of its departure for the seat of war, will be the recipients of a valedictory benefit at the Academy of Music, on Wednesday evening next, under the auspices of Col. GREGORY, Lieutenant-Colonel WALLACE, Major GEORGE W. TODD, and the other principal officers of the regiment. There will be a grand concert. The musical arrangements have been confided to Professor DE WOLOWSKI.