A huge reason to make your own costume verses buying one from some online dealer who imports costumes from the Middle-East may be cost. However, the advantages also include fit, color selection and personal style. And of course, the creative aspect is huge as well.
It is amazing what a pair of harem pants or a circle skirt and an Arabic vest or short peasant blouse does for our self image and how the attention of the viewer is directed away from the work of the legs and toward the hip movements. The isolation of ribs from hips doesn't show if you are wearing a leotard and tights or a yoga outfit (They work well for their respective art forms but not for belly dance) but ribs sliding off to one side as the hips stay in place or vise verse will show up so well in the proper outfit.
Belly dance costuming in general is not difficult to sew. There are a lot of straight seams! Trims are sewn on over, perhaps, uneven hems. And you can use the remnants from, say, a circle skirt to make vests, hip and head scarves, cover bra and belts all without buying extra fabric.
On patterns: While we call the garments we wear while dancing, costumes, these clothes are not costumes the way that Halloween costumes are costumes. A Halloween or masquerade costume is meant to look like...a nurse, a witch, a belly dancer but they are not nurses uniforms, and you can't belly dance in the "costume" that you might make from a dress makers pattern company such as Simplicity or McCalls. There is not enough fabric in the pants nor the skirts, the garments often ride at the waist instead of the hipbones and the coats are too tight to offer you a full range of movement. By the time you have altered the patterns, often through trail and error, you likely will throw your hands up and scream more than once! There are a couple of pattern companies out there and I carry my own line of patterns which are available in my shop. Early on I was using Jeylor Patterns, but they were designed from actual clothes from the Middle-East and women in the U.S. were not built the same, being taller and once we start dancing the pectoral muscles develop from the veil and floor work, and now arm holes and sleeves don't fit, so these patterns needed altering.
On fabrics: You can make your costume pieces out of many kinds of fabric, from cotton to satin and lame to sequined anything. Many fabrics have special needs, cottons need to be pre-shrunk, tissue lames fray badly so you will need Fray-Check, knits require a sewing machine needle for stretchy fabrics and fabric with the heat applied fake sequins that will gum up your needle calls for a bottle of Sewers Aid (A clear, non-staining lubricant. Sewers Aid Lube is especially useful for the home sewer, will help reduce skipped stitching and friction heat of needle while sewing.) Some fabrics are too stiff and will not drape well while others are too wispy and will not flow well, so the fabric that you use will depend on what you are making.
On decorative embellishments: In the Middle-East the more lavish the clothing the richer the woman or more accomplished the dancer. Clothes and costumes made from beautiful fabrics that are heavily embroidered and trimmed were and are highly valued. Sequined and woven trims work very nicely in the place of embroidery and appliques, whether you buy or make them, also are used to decorate our costumes. The word origin of "sequin" is Arabic and means "coin". Until WWW II sequins used to decorate clothing, handbags and accessories were made from metal, but with the metal shortages and the advent of plastics, sequins started being made from plastic and that medium is still used today for the most part. Traditionally, coins given to young women when dancing would be sewn onto scarves and vests and used to show off the girl's performance ability. The gifts of coins and jewelry tossed at her feet while dancing went toward her dowry. A dancer with many coins and plentiful jewelry was, therefore, known to be a very good dancer. So plan on putting trim along the bottom of your skirts and up the sides if they are open, trim around veils, vests and scarves. Decorate your dance bra with coins or beads (or both). A plain bra top and un-decorated costume pieces denote an inexperienced or not very accomplished performer, besides, when we have a beautiful costume, even if we are only practicing, we feel better about ourselves.
I've always said that belly dance is one part music, one part costume and one part dancer. A beginning performer in a lovely costume comes across as a more accomplished dancer than a girl in work out clothes. An accomplished dancer in a plain costume is perceived as less accomplished than she is. Is it fair? No, but this is a spectator "sport" and the wonderful thing I've seen over my almost 40 years of belly dance is that we don't have to have a classically beautiful face nor do we have to have a perfect figure. With the love of dance and a pretty costume, a feel for the music and a nice smile we are accepted and loved as belly dancers.