For me, it starts with some cheap tights or pantyhose. Then I can wear then under my jeans when I go shopping for shoes. Once I have a pair of shoes, shopping for clothes is a bit easier.
Roughly speaking, underwear is easier to start with, since you cannot try it on in the shop anyway. I've found that wearing the right underwear helps give me confidence to wear the right outerwear.
I rarely order online or via mail order. I find it much more satisfying to go out and try stuff on. In particular, I cannot help you with shoes. I've occasionally got a dress or skirt via mail order, but only a couple of dresses were really good buys.
I don't wear wigs, since I have long hair to begin with. For fingernails, I prefer to get them done at a local salon. Any nail polish I own is just cheap stuff you can pick up at a drug store or chemist. I don't wear makeup much. If I ever get serious about makeup, I'd probably get some one to do it for me, since my attempts tend to be disasterous.
I do windowshop for shoes online. I don't have any particularly solid recommendations since I've never bought from any, but my favourite shops to look at are:
www.veronicas.com www.italianheels.com www.sexyshoes.com [the best organised of the more generic catalogues]
As far as I know, they are all good shops to buy from. Italian heels has a little sheet that you can download which allows you to determine what size you are.