Start with the basic dance outfit, which is a leotard and tights. Choose a long sleeved leotard and full-length tights for the most coverage. Have these on underneath your other clothes in case you need to shed layers throughout the class.
Put a long-sleeve dance sweater on over your leotard to keep your upper body warm. There is a large variety of knit sweaters that are made especially for dance class. They are form-fitting and easy to move in, and range in length. If you do not have a dance sweater, any form-fitting top or sweater that allows you to use your full range of motion will do.
To keep your bottom half warm, put on a pair of leg warmers or dance pants. Pull your leg warmers all the way up so that they cover the majority of your leg. Dance pants range in style from knit pants to yoga pants. Again, anything form-fitting that allows easy movement will work.
Footwear will depend on the type of dance class you are taking. If it is a class that does not require shoes for the warm up, wear socks for the beginning of the class and take them off to avoid sliding when the dancing begins.