As an architecture major, it starts with sketches. That's kind of a lie. I started by getting materials. Physical Computing had blue LEDs, although they're a bit small but should work once the legs are bent to be sown down, as well as a variety of push buttons. I ordered in a lilypad and a low-profile battery holder, as well as conductive thread. I also figured I wanted to get a good-looking yet cheap pair of gloves to save me the effort of making one, but also because they would look better that way.
I don't have much knowledge of Arduino, but I figured that if I knew how to make it work in python, it wouldn't be too hard to get working in the Arduino's C++. Plus, getting an Arduino means that I could expand the functionality of the system later on if I wanted to integrate LEDs into a hip-slung box to represent the body of the device, which might look something like the below.