This is one of the easier ways to make your own Team Rocket costume(s). It's a no-sew project where your main material is just white T-shirts -- even for the skirt. This is everything you'll need:
What you'll need for Jessie:
What you'll need for James:
You can easily find the gloves and boots at a party store if you don't want to buy regular of each. The video also links to a how-to for the Jessie wig, but Halloween hair dye for both Jessie and James would make the process much easier. However, if you are up for a challenge, here's how to make the wig.