Hiya! Congrats on going ballroom!! I take lessons, and I love it!
I recommend wearing supportive garments on your legs. I usually wear black opaque tights or nude colored support hose. For outer wear, it is usually something comfy--yoga pants or capris and a comfy top. I usually wear a sports bra to help support the girls too!
Sometimes I will wear a skirt or dress--it really gives me that ballroom feel! LOL If I wear a skirt, I usually wear a pair of black bike shorts or Spanx under it for modesty's sake (in case I fall I don't want to flash my knickers!

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The most important thing you will wear when ballroom dancing is your shoes. Make sure they are good quality, with felt soles for ease in turning. Your DH will want some too.....Here's where I got mine:
http://www.appledanceshoes.com/
Have fun with it!!