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!
Step 2: Color schemes!
I decided to do black and animal prints with red.
Pink, light blue, and yellow are also featured prominently, or you could mix and match. All of those colors go well with black or animal prints.
In my case, I chose to use black and animal print for the main outfit, and I painted my fingernails red and wore red heels. I also wore a pinkish-red lipstick.