Hi ^_^!
First, welcome to China! I live in Wuhan, so I know little about cosplay shops in Shenyang, but I willing to help you, give you some suggestions ^_<
For me, I purchase cosplay clothes, wig, and other materials in
www.taobao.com ,it's convenient ,easy , good qualities and not so expensive. But the first important question for you is how to communicate with those many Chinese sellers on the web, you need to learn Chinese ^_^.
There are some web shop I usually visit to:
Japan animation clothes
http://store.taobao.com/shop/view_sh...e%a1%ec0%a1%e6
Chinese animation clothes
http://store.taobao.com/shop/view_sh...e0%cf%ce%c4%e0
mixed animation clothes
http://store.taobao.com/shop/view_sh...ick=lanseyixin
Cosplay wig
http://store.taobao.com/shop/view_sh...%b7%a8%c a%a6
Best wishes to you.