Well burning man is a very self reliant kind of place, so most people would buy parts from all over and combine them. Amazon, Etsy, local thrift stores, costume type shops, etc.

Use stuff you already own like water bottles or sunglasses/hats, use Amazon to get inexpensive commodity type things like goggles, hankerchiefs. Use Etsy to get more unique things like hip sacks/holster vests.

Then things you might already own like lingerie, bathing suits, mixed with hiking boots/military/work type boots, skirts/tank tops/crop tops