How Can I Change The Color of A Wig?
Aside from using dyes made specifically for wigs, you can dye wigs with ink. Check out these tutorials for more details: Ink Dye FAQ,
Is Lolita / Steampunk / Other Fashion Okay to Cosplay?:
While they are considered fashion and not cosplay, many people do wear them to conventions.
There is such thing as cosplay-lolita (and I am sure there are cosplay versions of the other...