Step 1: Consider the color scheme. I was absolutely obsessed with The Nightmare Before Christmas when it first came out (God, that makes me feel old!) so I know Sally's "true colors" a bit better than most. Your typical Nightmare Before Christmas trinkets portray Sally with baby-blue skin and fire-engine red hair, and her dress in bright pastel hues. If you actually look at the puppet from the movie in the two scenes where she's not under night-time lighting, though, her skin is actually more white than blue, and her hair is rather a brown or burnt sienna tone. Her dress too is in dull, muted tones, like fabric that's very old and starting to rot. This is your color scheme if you want authenticity.
Step 2: I'll call the hair step 2. So, you need to get the hair down in some way. If you happen to have waist length red or brown hair you can probably use your own and bypass this, but for the rest of us, here's a way to make a proper Sally wig. You will take a stocking cap/snow hat, and try to get one in a similar color to how you want the hair. Then you will buy a bunch of yarn in the closest color you can to Sally's own hair color. Buy more than you think you need because it'll be a pain if you run out and can't match the color exactly later on, when you have your wig only partway finished. Why are we using yarn? Because Sally is a RAG DOLL, and ragdolls usually have yarn for hair. I think this was intended in the film as well -- early drafts of the script had Sally using her hair to sew herself back together after her jump from the window during the Jack and Sally montage.
Use a yarn needle, and thread pieces of your yarn through the stocking cap. Tie the knots off on the inside where they won't be seen. measure out your yard and cut off the ends to the desired length. Do this over most of the cap, till you have it covered well enough. You can use some of the thread to loop through the cap and discreetly tie down other pieces of the yarn to keep it flat and so it won't become too poofy. Test out the cap from time to time, and just keep adding yarn strands till you get the amount of coverage you need.
Step 3: Buy up your fabric for the dress. How much of each piece you'll need depends a bit on how large you are, but if memory serves me right, I bought some cheap cotton in: orange, teal, pink, gray, tan, light leaf green, black, magenta and another brown/yellow color. Cloths colored with natural dye might be a better match to the genuine color scheme described above; you might also consider soaking the fabric in some strong tea or coffee if you can only find very brightly colored material.
Step 4: Once I had the needed colors, I used black fabric paint and a red Sharpie marker to then apply the needed patterns onto the cloth. The pink cloth that goes over the left side of her torso has a swirly pattern; the left sleeve is orange with thin red and black stripes, so and and so forth. Most of the patterned fabric are on the front of her dress but I believe there was one patterned piece on her back as well. Shots during Jack's Lament show the back of her outfit most clearly of any point in the film. The book Nightmare Before Christmas: The Film, The Art, The Vision provided me most of my reference pictures at the time.
Step 5: Once you have the cloth painted and dried, you need to actually make the dress. I think I really just did this, with no pattern, by laying pieces of cloth on my body and cutting them into about the shape I needed (probably a little larger so i'd have room to spare) and then using loose basting stitches to temporarily hold the fabric together in the proper layout; after I had most of it in place I went back and used more basting stitches to hone the design, and just kept doing this till I had a reasonable dress in mockup. At this point I sewed it properly, by hand, using embroidery thread in large, wacko stitches as are the hallmark of Sally's look. I think the green cloth on the left hip had to be cut in an odd way with a wedge in order to make it lay right, but everything else I was able to get dead-on. I'll add, I did not hem the skirt or finish any of the edges, this being again a trait seen on the original. Don't forget the pocket on the front of the skirt!
Step 6: We're assuming you have the dress finished at this point. If not, do whatever else you need that I didn't go over to make your dress be finished.
Step 7: To get the stitching on the legs, I used a pair of opaque white tights and put little drops of clear nail polish down on every spot where I intended to go in with a needle. I used blue embroidery thread and just sewed down lines of stitching in the correct places on the legs. If I had the costume to do again, I would also make some arm-stockings in the same way (the costume originally had been planned that I would glue down some false stitches on my arms, but it didn't quite work when I tried it.)
Step 8: I assume you have your leg and maybe arm stockings done and stitched. Makeup time! Start by painting your fingernails a burgundy color.
Step 9: Any exposed skin that's left after your tights and arm-pieces are on, needs to be painted white with clown makeup, and then have blue 'stitches' painted on. (Again, I found out too late and the hard way that I couldn't really glue down thread onto myself as had been my original plan. There was no skin-safe glue I could find that both allowed full mobility and still held the threads in place on my skin.) I had to use plain old cornstarch as my setting powder over this, but if you can get good stage makeup a truly transparent shade of setting powder may be available. (Do NOT use regular "translucent" powder, as it has pigments added that will ruin the white makeup you've already used.)
Step 10: Using the blue makeup, smear some large circles around your eyes.
Step 11: Add some burgundy lipstick and some false black eyelashes, and you're done. Pull yourself together and you're now ready to party as Sally from The Nightmare Before Christmas!