Zones
Fashion District in Stormwind, this new district has two new shops, the Costume Shop and the Decorations Shop
In the Decorations Shop you'll find a little gnome that will sell you decorations for the strip club in your brothel, these are PURELY COSMETIC, and don't have any effect on the gameplay or the sex scenes.

In the Costume Shop you'll find a Night Elf that will sell you stripper costumes for your followers.
Brothel
You can choose your decorations and follower costumes in your Bedroom, the costumes will block you from playing the strip mini-game, but they will let you watch a special sex scene in the strip club if you assign the follower with the costume to the stripper job.