Hi Collide, here are some previous thread to check out with similar sorts of advice:
http://www.ministryofburlesque.com/l...ke-before.html
http://www.ministryofburlesque.com/l...burlesque.html
Also, work your way through the Learning Burlesque posts - there's loads of questions and juicy answers there.
But the best thing is to get to as many shows as you can, or failing that, use Youtube and Veoh, typing in burlesque or names of big performers you've heard of and work out what sort of style fits you and get some inspiration.
Hope you have lots of fun xx