I can tell you what not to do... When my daughter was in 4H we went a bit overboard and put her and the horse in full medieval costumes. We had been using this horse in medieval recreation so he was very used to all the weird stuff, but the judges were terrified that there was going to be a wreck. From the moment she went into the arena, there was a 'helper' within two feet of them the entire time. Due to the 'safety concerns' she only got fifth, though the crowd thought she should have gotten first.
Between the two of them, they were wearing about 150 pounds of deer hides and over $500 in armor.