I usually come up with my OC concepts through roleplay. I play a lot of D&D and I also LARP, so I am constantly creating new characters and some of them I just love so much! With LARP I usually end up putting costumes together for them anyway because that is part of the experience, so I may as well show them off!
Because my characters usually come from roleplay, they usually have extensive backstory. I spend a lot of time during character creation coming up with a history for my characters, and I usually have even the smallest details figured out. I have an entire folder on my computer for word docs containing the histories of my characters xD I think it's super important to have history for your character, because it gives you more insight into how they act, think, talk, etc.
Why not? I don't often wear my OC cosplays to conventions, but I do love doing photoshoots and meetups with them. Being a fictional character is fun on its own, but being a character I created is awesome because I know that character's personality so well and can easily be IN character. Long story short, it's just plain fun. It's like playing pretend. lol