He performed My Way in several shows although I am not sure how many. I know it was included in the set lists for some of the 1976 and 1977 shows, but he didn't always perform it during that time period. I don't know for sure if he performed it in his last show, but he definitely performed it in some of the March-June 1977 shows. I have seen the performance that Souza posted and I may try to track down that particular show, except that I am not exactly sure what the date was. I just think Elvis performed that song so well, and I can see how and why he drew parallels from the song to his own life.
Thanks to Souza for posting those videos!