I want to do this but I'm not sure What material holds color the best. Can anyone help me with this?
You want a natural material. I dyed 3 before I finally found one that worked! The one I got from David's Bridal held the color the best. Make sure that it's not acrylic, it won't hold dye AT ALL.
Even better, at a fabric shop they sell the mesh, just buy it and get it sewn into your dress!
Here are instructions that I found