I've heard that just regular dye works OK. Like RIT, or maybe something you get from Dharma Trading Company.
However, the different parts (especially the elastic) take the dye in different degrees. Some elastics don't take dye at all.
One possible way to correct this is to use a permanent marker on the parts that didn't dye well. Sharpies come in a lot of different colors, and work well.
All this info came from a belly dance costuming workshop I attended some time ago. Personally, I hate RIT and won't use it. I choose the Procion
dyes from Dharma.