I want to start by asking you, if this is new and you are totally freaked out, is it enough to just end the relationship? Or is this a guy that you like enough about that you are willing to consider his requests as possibilities to explore?
If you want to throw the baby out with the bathwater, no judgement. However, I commend the guy for being upfront about that which he enjoys and seeks to be a part of his relationship. Not many guys are that forthright that early on. However, that's not a reason to stay if his preferences are truly bothersome for you.
That brings me to my next question for you. Are his ideas too farfetched for you? If you have written to ask me about it, I would assume you are considering it. Is there a way to test drive some of the costumes he requested in a way that does not make you as uncomfortable? Perhaps this is one of those things you can build up to, like other sex acts that take a little time to get acquainted with. Are there costumes you are more comfortable with that you can suggest being part of the sex play instead?
I maintain that the best way to address this, should the relationship be one you want to pursue, is to talk to him about it. Let him know how you are feeling about his request, and see if there is a compromise to be made or a way to build up to it. Ask him about his requests, and see if you don’t understand it more for yourself and if that takes some of discomfort out of the situation. I understand talking about sex and sex play is uncomfortable for so many people. Yet, it is not talking about it that leads to so much unmet expectation and dissatisfaction. Or find someone whose freakiness is more matched to yours.