This is actually very simple costume. You'll need an orange wig (it can be made out yarn too), too large shoes or boots, too large shirt and dress and stockings, if possible in two different colors. She can also wear little blue shorts with little dots under her dress. And put few freckle on girl's cheeks too.
Image by Nesster, CC BY-SA 2.0, Flickr
Image by GoodNCrazy, CC BY 2.0, Flickr
And why is it so colorful? Because Pippi is very curious little girl, she really don't want to waste too much time for putting on clothes. There are so many interesting things to do. She wants to explore the world around her all the time.
Sometimes when it's cold she puts on knitted large sweater, scarf and knitted socks and even larger boots than usually.