I would recommend first taking a look at the sticky thread in this section about walkons, since it has a lot of very good information. I also have a post here about the subject
For any character, you would have to decide how you want to portray them, and which side(s) you want to show. Will you have any props (like her sword)? If so, be sure to use it on stage. If not, find ways to act and pose without it. You're basically here to not only show off your costume, but tell a very brief story in the way that you act on stage -- not really narrative as much as showing the audience who this character is through your actions. So that leaves the question: which side(s) of Utena do you want to show? When I did a walkon as Juri, I tried to act as intimidating as possible, swishing my sword around threateningly, but that may not work as well for Utena's character. Do you want to act princely? Like you're in a duel/about to get into a duel? Show off her somewhat more bumbling side? Act out a bit of the pre-duel transformation sequence (though this may be hard without Anthy)?
Music choice would also be important here, if you can choose your own music, so something like Zettai Unmei Mokushiroku as your music would require different acting than something like Rinbu Revolution, or Rose and Release, or Revolutionary Girl Overture, etc.
Overall, it's about fun, so you should relax and get into it. :] Some amount of confidence on stage is always a plus, and you can always fake that. Be sure to do at least one turn so that people can see the back of your costume, and above all don't just...literally walk on and walk off. There's still acting involved.