My sister worked with the Memphis Belles for a while. A lot of them made or altered their own costumes. I saw a couple of good videos online... One girl did an outfit that was half-innocent and then half-lingerie (like TwoFace style), one dressed as a man (a very convincing one), one acted like a little old lady that got the music going through her. There was also one that had a skirt that was bags of cotton candy that she threw into the audience...

I think the only things I remember hearing are "practice a ton" and "feather-fan twirling is actually REALLY hard." And my sis was proud when she could get the tassels on her pasties to swing in circles...