People Will Ask You For Pictures
So be prepared. If you've ever cosplayed before, you know what this is like. If you do mind having your picture taken, then respectfully decline by saying something like "please don't, I don't feel comfortable with that." If you don't mind, then let them. Have a couple of poses that you like ready so that it doesn't take you long to figure out what to do for the camera. My favorite is the curtsy pose, which allows you to display the print/design on your skirt or dress.
You Probably Will Be Asked Questions
Even at an anime convention, not everyone knows about lolita fashion. You might get asked who you are cosplaying, where you got your clothes, how much they cost, or if you bought that in the dealers room. People that know something about lolita might ask you if your dress is from a specific brand. Hardcore cosplayers tend to ask "did you make that?" The range of questions is endless.
Dealers Room/Artist Ally
At pretty much all of the cons that I've been to, there's some sort of dealers room selling industry goods, and an artist ally selling handmade goods. In both of these places, you may find things that seem to be lolita. And they very well may be. Last year at my local con, there was a Bodyline dealer with a booth. At a New York con I went to, there was a Baby the Stars Shine Bright booth. However, both places had extremely inflated prices. Do your research! I know a lot of people paid over $100 USD for Bodyline jumper skirts that online go for $35. However, you don't have to pay shipping, you usually can try items on, and you get it right then and there, which is something to think about. Artist Ally is usually safer. Often you can find cute, handmade accessories, jewelry, and even skirts and t-shirts that are unique and great for your wardrobe. A few years ago, I found a skirt with a sushi print on it, and it's just such a fun item to have in my wardrobe.
Meet-Up With Other Lolitas
Many lolitas have meet-ups at conventions. They could be meeting up to work on something together, like a panel or a fashion show type event. They could be meeting to go shopping, or just to hang out. Meet-up information for individual cons would either be posted on the convention's forums (through the con website) or on the local livejournal accounts. Find your area here!
Think About Your Outfit
Especially if you are not staying at a hotel, or if your hotel is far away from the site. Think, "am I going to be okay in these shoes?" "will I get hot/cold walking outside?" etc. Layers are always good, casual styles are a safe bet too. If it's cold outside, cons usually have a coat check.
Don't forget to have fun! Go to panels, meet with other fans, learn new things! You'd be surprised what you can take from a cosplaying panel and apply to lolita, like wig styling tips.
In other news, I will be at Ohayocon doing a couple panels on lolita fashion with a friend. Mine is entitled "The Elegant Wardrobe: A Guide to Dressing Lolita" or something like that. If you'll be there, please come check it out!