What a wonderful gift! I'd say once you are comfortable with him using the machine, start with capes. Capes are easy to make and many great costumes need a cape. Simple dress/robe type costumes are easy, too. Think wise men looking costume.
He sounds like a creative kid. Maybe you should watch the sales at Joann's and pick up a couple of 99 cent costume patterns and see what happens. I'm sure the two of you could have a ball with them!