did you mean you wanted to make a cosplay into a lolita? Sorry i'm confused.
If you're looking for a good place to buy lolita clothing and shoes please keep in mind that lolita isn't cheap. If you're buying offbrand you are still looking at 50 bucks a dress unless you find something used. Just don't get your heart broken by prices :/ Bodyline is a great starter for lolita, its considered the walmart of lolita. The pieces they sell are good quality and their shoes are worth looking at. Also the EGL Comm Sales on livejournal are a good place to start. Be aware though that replica's are now illegal so if you want a certain print it won't be available in replica form. Also facebook has a page called lolita sales in english. There you can post wtb for just about anything.
i really hope that this helps in some way, also i would suggest mintymix.com for wigs, they are a good price and very comfy to wear. Just beware of Milannoo or shops that sell lolita as cosplay. These sites are generally very cheaply made and not worth your money.