You should be able to do it at the resort ticket desk. I don't know about ticket desks at other parks, since the party is MK-specific.
It's what you're most comfortable with, really, and how involved your costumes are. Some people keep their costume in their own trick or treat bag and change in the park. But you will have to carry your day clothes with you or stash them somewhere safe. It might be nice to have the option of changing back if the weather changes.
Personally, we'll be in AK the morning of our party, and our Disneybounding needs hair styling, so we will be taking as much of a break as we can at our resort.
All of this is described on the front pages, but the simple breakdown is: get the teal trick or treat bag with your party wristband, collect tokens at the candy stops, turn in tokens at the allergy-free locations in Liberty Square or Main Street for allergen-free treats.