Get started on your costume early.
Seriously, don't put things off!
Even if you manage to get your costume done the day before the con you never know if it it'll break just walking down the hall unless you have a chance to check it out first.
I highly suggest having a hotel room if you're dressing in any sort of bulky or hot costume, you'll want to be able to put it away for awhile and breathe and a locked room is great for that.
Finally, I agree with Aurora, it's much better when you have a group to hang with and play off of. The more in character you are the better the cosplay (note, this does not always apply to murderers and other general bad guys).