DOs:
Watch lots of performances (live shows, instructional DVDs, YouTube/Veoh footage).
Decide on what you like and don't like in other performances before putting your own together.
Customise your own costume pieces.
When performing, use all of the stage and use your body in interesting ways, full of movement and charisma.
DON'Ts:
Use tracks that other performers have used time and time again (there're 2 particular tracks that I have come to loathe owing to hearing them used so often for performances - but I won't name them here as I don't want to offend anyone who is using one/both of them). In my capacity as a promoter, I won't book anyone to perform an act which uses either of these, just because I'm biased towards thinking that it denotes a lack of creativity. I freely admit, I know of no-one else as uppity about this as me, so it may just be me being anal

Jump straight in without having researched burlesque, it's history and it's contemporary goings on.
Blend in with everyone else. Choose a refreshing/unique stage name and style (though, I'm one to talk, using a name with 'von' in the middle! (it's the name of the French Royal Family darnit)).
Include too much repitition in your acts.
Rely too heavily on props or music to carry the narrative of your act. The story you tell should be perceivable through your movement and facial expressions (well, this is in my opinion - there may be others who would disagree).
xox