It depends on what kind of outfit you are looking for.
Something "sexy", then one of the types of shops mentioned, would probably work. Erotic Cabaret in Montrose is really good as well; not only do they have "sexy" outfits, but a nice selection of genuine corsets, hosiery, lingerie, heels, etc.
If you're looking for some quality stuff, like good corsets and "sexy" outfits, online might be your best bet. I can think of a few high quality brands that I really love (Artifice Clothing is one, Westward Bound is another.)
I think shopping online could still work; you can just ask the lady for her sizes and if you're worried about shipping, ask her if you can send it to her in-call. If you've already met, that shouldn't be an issue.
Something else I have also done in the past is opening a PO Box. When clients wanted to send me things, but I didn't have an address I was comfortable sharing with them, I had them send it there.
Another option is a gift card. Either to the specific shop or just a vanilla gift card. Then you can have her purchase the outfit herself.
However, I also don't think taking her shopping is so far off the mark. I have a nice handful of gents I meet with that enjoy "spoiling" me a bit and bringing me gifts. It's just a nice way of showing that you appreciate someone.