A few friends and I are trying to get a group together to do a Phase One chorus girls (so, Cap's USO girls, the Ironettes, and Howard's chorus girls from the Stark Expo), so I've been looking at this costume a lot lately.
The lights look a lot like those cheap LED stick-on lights you can get at any hardware store or As Seen on TV; here's an example on Amazon
. And this article
has a sketch of the costume from the movie's concept sketch artist.
I would say the costume is 4-way stretch, metallic spandex.
That's as far as I've gotten in my own costume planning!