My alternative for the zentai/tights situation was purchasing these:
They're the same as leggings, but made for winter so they have a thick layer inside and they're AWESOME for this! It's pitch black and they cover the toes. A little warning is if you're on the bigger side, I would not suggest this. It'll be hard to get into them comfortably if you are since it's one size. I don't mind painting my face and my arms are going to be "inside" my cape so I wasn't taking those parts into consideration.
I decided to paper mache Fi's "hair". I used a balloon for my head shape, floral wire to shape the pointed tip. I'm really happy with the results:
New York Comic Con/Anime Festival 2011
Anime Boston 2012
Midna(The Legend of Zelda): 100%!
Phi(The Legend of Zelda): 100%
Eska (Legend of Korra): 10%