sari with a tie-up choli is a popular choice.
Have music at your party. Ask some of your girlfriends to perform a dance, or song for you and your guests.
3) Cater food for the party in advance - do not only have finger food. Ideally, the henna is done in the evening, so plan on catering food for dinner. Be sure to have adequate drinks on hand.
4) Decorations is also a key item to think about. Try theme decorations - Indian style or otherwise. Something that creates warm and inviting atmosphere would be a great idea.
For more on what happens at a henna (mehndi) night pary, please read