If you're short on time: start with a full costume or a horns set. Either one does the heavy lifting, and you can add stockings later.
If you already own red or black lingerie: build around it. Horns, a tail and red hosiery turn a set you already have into a costume.
If you're going somewhere crowded: pick pieces that sit close to the body. Horns, tails and harness styles are easier to move around in than larger wings.
If you're dressing as a couple: pair it with an angel look. White feather wings, a halo and white stockings are the classic opposite, and you will find them in Sexy Angel Costumes.
On fit: check the size notes on each listing. Hosiery and harness pieces fit differently from one maker to the next.