Headbands: a lot of costume will come with something that goes in your hair, if it doesn't connect under the hair line (along the top of your neck) then grab some elastic and connect it! This goes a long way to helping it stay on your head when dancing. The elastic should be close in color to your hair, so it isn't visible. Another good idea is to get some sort of gelli headband form the drug store and whip stitch it to the inside of the band. If you have slippery hair like me this is a life saver, I couldn't wear my new Saidi costume without it!
I bet you all just thought about what could happen if the hooks failed, didn't you? If you've ever gone surfing or snow boarding you might have thought of this solution already, but here we go: before performing in your bra get some flat elastic and skirt hooks, attach the elastic to the inside of the cups at the underwire (be careful to keep it at the same angle as the band) and attach the skirt hooks to the other end. This will give you a backup to keep your bra on in case of a hook or two failing AND it will give you some extra support that stretches with your breath. You might want to do this before setting the hooks, since it will help keep the bra on while you're trying to fit it. You will probably need to make a guide to keep the elastic hidden under the band, as you can see here:
Another important trick is the placement of that top strap(s). If you are getting too much side-boob but the cup should fit OR if the bra just seems too wide for your, moving the strap sideways along the cup can drastically alter the fit. You can see under the mesh on this dress that I added ribbon to pull on the cup in the specific places I needed in order to improve the fit.
The next best thing is T straps. You need to get a strong, non-stretching, fabric like grossgrain ribbon, as well as some trim that will coordinate with your costume. If you can't find anything to coordinate you might need to bead the ribbon yourself, but you can usually get a good look with pre-made trim. Open up the lining and attach the ribbon to the neck strap at the top with a VERY strong stitch, be sure to go all the way through the fabric, but also not to let your stitches show. The difficulty of this will vary depending on how your band is decorated: if it's fully sequined you won't have much trouble, assuit also hides stitching well, you might need to keep your stitching hidden by the beaded edge. Once attached at the top have a friend pull it down and mark where it needs to be attached to the band. You need to pull tight enough that the weight of your breasts is transferred from your neck the new strap, which will transfer it to the band where it belongs. cover it with the nice trim then attach it, tucking a few extra inches into the lining, so the bra can be adjusted if you decide to sell it.
The bra and belt should both have felt added to the inside with a quick and easy whip stitch. This is to absorb any sweat and keep you from having to wash your costumes too much, which wears them out. When the felt gets icky just take it out and replace it, the bedlah is still in great shape! I like to stitch a little pocket into the front of my belt for my business cards. You can't keep much in there, but having some cards on you during (especially restaurant) gigs can be really helpful!
If you've any luck your skirt is either the right length, or too long. Too long is much easier to fix! If it will go under a belt you can just roll the waist band up, stitch it down, and you're all set. Very full skirts and skirts with decoration at the hem should be altered this way. My circle skirts I hemmed to fit when I wear heels, and I roll and pin the waists when I want to wear flats. My new asuit costume has coin trim along the edges and hem, so I rolled the waist as described. Stretch the elastic out to ensure you have a smooth fold and that you're not creating twists anywhere, those could cause tearing when you stretch the elastic to put the skirt on and off.