What to wear: Well, there's not much to this costume, so that's a plus. The true, old version of Melisandre is butt naked, so get yourself a body suit that matches your skin tone and a stringy white wig. If you can use makeup to draw on a few wrinkles, you'll nail it.
How to act: Exhausted and over life in general. Refuse all offerings of food, and avoid mirrors.