EL Wire could work but it might be too dim to be seen under arena lights. You may want to look into using some LED strips and this tutorial for integrating them into a costume design. That tutorial will have a list of parts used so you can follow along if you would like. LilyPad LEDs like these could also work but again, they might be too dim for your needs here.
One other post that might help you find the right parts would be parts one and two of a blog post about wearable tech costumes at DragonCon. Those posts cover a wide variety of costumes and projects the author, Gella, made, saw or participated in when she was there.
I hope this helps you find the right parts for your costume. If you have any other questions about the products listed in these posts or other SparkFun products you would like to use for your costume, let us know and we would be happy to help as much as we can.