Masquerade and costume are not horrid pagan things. What do you see in the Bible? The good angels take on whatever form they like, on orders from God; God and His angels visited Abraham (unless that was the Trinity); and Raphael walked in disguise with Tobias to guide him. Jesus Christ walked in unrecognizable guise with His disciples to Emmaus, playing a gentle trick while talking in third person about Himself, and revealing Himself only at the breaking of the bread. So it is no surprise that Paul had no better advice for Christians than that they should “put on Christ”.
So much for dressing up as a saint or hero, or something good that you’re not. But why would you wear a costume of a villain? Ask Chesterton’s Father Brown:
“I don’t try to get outside the man. I try to get inside the murderer. . . . Indeed it’s much more than that, don’t you see? I am inside a man. I am always inside a man, moving his arms and legs; but I wait till I know I am inside a murderer, thinking his thoughts, wrestling with his passions; till I have bent myself into the posture of his hunched and peering hatred; till I see the world with his bloodshot and squinting eyes, looking between the blinkers of his half-witted concentration; looking up the short and sharp perspective of a straight road to a pool of blood. Till I am really a murderer.”“Oh,” said Mr. Chace, regarding him with a long, grim face, and added: “And that is what you call a religious exercise.”
“Yes,” said Father Brown; “that is what I call a religious exercise…I’ve put it badly, but it’s true. No man’s really any good till he knows how bad he is, or might be; till he’s realized exactly how much right he has to all this snobbery, and sneering, and talking about ‘criminals,’ as if they were apes in a forest ten thousand miles away; …till he’s squeezed out of his soul the last drop of the oil of the Pharisees; till his only hope is somehow or other to have captured one criminal, and kept him safe and sane under his own hat.”
Most children who dress up as pirates or dragons or other scary things — they do it because they don’t want to grow up to be pirates or dragons. Healthy adults have much the same motivations, and may well need the reminder even more.