We went through the same thing--except with a VERY expensive Easter dress that had a tulle skirt. They don't like the itchy! My DD spent her 2nd Easter in her onesie after an hour long fit over the dress.
Some of the costumes even have tulle or long ends of that synthetic thread where the arms connect to the bodice and it drives them nuts. You can go and get some color coordinated felt or fleece or any other really soft fabric, and if they are old enough to reason with, show them that you are putting it on the inside where the itchy is. That's how we finally got DD into her first recital costume.
I've also heard moms say that they offered to let an older sibling or dad wear the costume and that convinces the little one that they really want to wear it themselves.
Good luck!