I chose to do a Bettie Page version once I realized they made wigs. ;)
This is pretty involved costume, and I'm hoping you'll be able to avoid a lot of the mistakes I made!
Step 1: Pieces of the costume.
A dress or other outfit
Pantyhose (probably not fishnets. I tried, they looked trashy.)
The rest is really hair and makeup. You can do either a wig or curl your hair. I failed miserably with my hair, so I ended up going the wig route!