I was a burglar last year. It was a great success! All you need to do is wear all black, and tie a handkerchief or bandanna around your mouth (with an air hole, please!). You could also carry rope or have jewels hanging out of your pockets. and for collecting candy, you could take a white pillowcase and add money signs and stuff to make it look like it's full of gold and "treasure". you can add anything else you want, but this is the basic stuff.
Thanks to Lena for this fun idea!