#1 - Go with friends
#2 - Know you're going to get some weird looks
#3 - Think about the likelihood of others dressing up for this movie
#4 - Only dress for "big" movies
#5 - Only on opening day
And now, #6 - Be practical with your costume. There are two things to consider here - yourself and others.
First, the primary activity you're going to do is to see a movie. Full face masks, eye patches, helmets, and other visual impairments make this activity more difficult. Nobody will care if you remove your headdress during the film, so please do so. But I've seen people sit in full Storm Trooper garb or a full-body Spidey costume for the entire movie. Relax. You can put your lid back on when the movie's over. Enjoy the show the first time you see it.
Second, is to be considerate of those around you. While it's impressive that you made a Doctor Octopus costume with 12 foot arms (it looks great at the last Con!) it's not going to fly at Amazing Spider-Man. Neither is your Galactus costume with a four foot headpiece. Your costume should in no way invade the personal space or block the view of the other patrons. Once again, it seems like it is common sense but it needs to be said.
So there you go. Follow those simple rules and you'll have a great time dressing up for the movies. A couple of closing remarks:
Ladies, just so you know, guys LOVE to see a woman who is awesome enough to dress in costume. That's MAJOR credit with the dudes.
If you see somebody not in costume but they're wearing fan clothes (say, a related T-Shirt), give them some props... but encourage them to go all-in next time. After all, how often do you have an opportunity to attend, say, a convention of just Spider-Man fans? That's why movie premiers are the perfect place to dress up - we should feel free to boldly declare our rabid fandom well our fellow rabid fans! Don't be shy! Let people see your inner fanboy (or fangirl)!
So next time you're going to a movie premier, to borrow a line from Barney Stinson from How I Met Your Mother, "SUIT UP!"