Most Shiva cosplayers opt for a body stocking, which allows them a lot of control over how the skin looks and is a lot more comfortable and less revealing than body paint. You can buy a colored bodysuit, but an even better route is to airbrush or paint the suit yourself to get exactly the right colors.
This website: http://www.katiebair.com/summoningshiva_body.html
details exactly how one cosplayer went about makign her Shiva costume, and its a great reference for any summon cosplayer.
Other good websites to check out are:
(She has made both the FF8 and FFX Shivas)
(some more info on construction)
I'm a huge fan of Shiva cosplayers, and hope to do her myself someday!