You can make them at the Costume Shop.
Magic Cloth and Magic Thread required for making Costumes can be obtained as rewards for completing shows, or from the Wish Piece Exchange.
Some Costumes can be obtained together with characters from gacha. If you get a character that comes with a Costume, you will also be able to make that Costume for other characters. Increasing the Mastery Rank of characters that come with costumes unlocks Costume color variants.
To make costumes, go to Real World > Shopping Mall > Costume Shop.