I figured we'd get Magneto in costume in the very final scene. I can imagine just a very dramatic scene where Magneto is in shadow talking to Mystique and then at the end he puts on his helmet. Maybe Xavier will use his telepathy on Magneto during the course of the film to prevent him from doing something awful and Magneto will give a dramatic line like "this is to make sure Charles never stops me ever again."
As for a movie costume, I'm thinking something like this would be a good cross between what we've seen so far and the comic costume.
That is a good point about Xavier being surprised by the helmet, but that only prevents Xavier from being aware of the helmet's telepathy stopping ability, not for Magneto to show up with one. Or maybe before X1 Xavier had no reason to try to attempt a telepathic assault on Eric.