The single most useful thing to know about a cocktail dress is that you have to sit down in it before you buy it, not just stand in front of the mirror pulling your best standing up shape. Most of an evening happens sitting, in a chair, in a booth, on someone's garden wall at midnight, and a dress that rides up at the hip or gapes at the back the second you bend isn't a dress, it's a liability you've paid good money for.
In the shop, check the lining first, because a cheap slippery lining under a nice outer fabric will cling to tights in a way that ruins the whole line of the thing by nine o'clock. Check the zip is metal, not the flimsy nylon kind that splits if you've had a glass of wine and a big laugh, both of which tend to happen on the nights you're wearing it. Hold it under the brightest light the shop has, not the kind flattering lamp near the changing room, because a colour that looks rich and deep in there can turn muddy or flat the second you're under a proper ceiling light, and I've learned that one the hard way with a burgundy that photographed like a bin bag. If you've nothing in this category yet, start with something in a single strong colour rather than a print, cut close through the body and a little looser from the hip down, because that one dress will do a wedding, a leaving do and a Christmas thing without ever looking like it's repeating itself, which a bold print, gorgeous as it is, will absolutely do if the same twelve people see you in it twice.
For pairing, think about what's already hanging up rather than buying a whole new outfit around it. A plain cocktail dress sits happily under the denim jacket you already own for the walk home, takes a pair of boots instead of heels without losing its nerve, and will layer under a good coat you'd wear to work on a Monday, which is the real test of whether something's worth the money, not how it looks for the three hours it's meant for but how many ordinary things it can be worn with before and after. A longline cardigan over it on the way there solves the cold without you needing a separate going out coat at all.
The mistake is buying it a size down because you're planning to lose a bit before the event. You won't, and even if you do, a dress that's tight on day one only gets tighter once you've sat down in it twice.