The dancer's tights will work. Sometimes the girls in my wife's dance troupe will layer them up as necessary - standard athletic tights, then a layer of nude-colored fishnets, then a layer of wider-mesh black fishnets. Even though it's not that way in the original artwork, you could layer a pair of dance/athletic tights and then a pair of medium-mesh nude fishnets, and your legs would look great. The tights with the mesh on top will conceal any imperfections.
If you do that, get fishnets with solid feet, or the mesh will be uncomfortable on the balls of your feet while you stand all day in boots. Or, since the white stockings come all the way up, you could just get fishnets without feet, or cut out the feet at the ankles. Or, maybe best yet, cut them off at the thighs and secure them to the band inside the top of the white stockings - that would act kinda like a garter belt to keep the white stockings from sagging, too.
As for the shield: You have a few different ways to go, but your best bet might be insulation foam, stacked into a few layers, carved/sanded down to the dome shape, then covered with a couple layers of paper mache. Then sand, paint, add details and strap.