Thanks! For this cosplay had arm bands with elastics in them. It was convenient because the nylon 'second skin' was held in place by being held underneath the arm bands. If the sleeve doesn't go past your elbow, then it will stay in place on its own, but if it does go past your elbow, you'll need a creative solution to keep it in place. Maybe you could add an elastic to the edge of the sleeve, even. Here is a picture of the 'second skin' and the arm bands I was talking about.
Actually, it tried it twice. First with acrylic paint because we had no real dye....not recommended as it rubs off of nylon. However, if you're in a bind like I was, it last surprisingly well for just paint. XD I tried RIT next and I personally didn't like it. My favorite is just food coloring actually - like the kind you can get in Easter egg dying kits. Here's a good reference: www.dyeyouryarn.com/nylon.html