Dramatic effect. That is the sole reason Megumin wears a lot of her props. It tells you a lot about her character and how you should act as Megumin. The more dramatic, the better. You should try to keep in mind that you will need to be dramatic all the time, every time being Megumin. After all, you are the best magic user of all time and the greatest prodigy of the Crimson Demon Clan.  Of course, you do not have to cosplay her personality if you do not want to. The props are more than enough to make an amazing and impressive costume that will make a lot of people compliment you on your efforts.