First, win the Costume Contest by using the Robot, Knight and Statue of Liberty costume to get the blueprints for this costume.
Second, enter the hole in the wall inside the Arcade, follow the south train track exit which will take you to another level. The Sparkly Fabric should be in a coffin in an alcove to the left.
Third, take the first set of escalators on the right side of the mall up then run down and to the left to the lone "down" escalator and run up it. The Yarn is inside the coffin on this platform.
Lastly, head to the far left of the top floor and find a section of broken barrier. Bash it with your candy bag and drop down to fall into the giant hollow pumpkin on the ground floor. Grab the Glitter to complete your Unicorn costume.