Like with most Twin Peaks characters, Audrey Horne's style is pretty basic. Her strong contrast is her signature look. 50s/60s-inspired items aren't hard to find these days.
Main key stuff:
-Warm red lipstick (duh)
-Dark short hair
-Cashmere sweater or something similar. You can also try wearing a cardigan backward!
-Pleated skirt w/ plaid print
-Red kitten pumps or oxford shoes
-Fake cigarette, unless you're a smoker.
-A partner/friend with a sharp suit and a tape recorder
-Dancing to this song
For makeup and hair tutorial, I recommend Dandelion April's video for her beauty-related magic tricks.