I would first try hanging it in the bathroom with the shower running. The steam may help the wrinkles work themselves out. Or, if you have one of those clothes steamers, try one of those.
The "felt-like" material causes me to caution you to take care when using an iron. As a pp mentioned, iron it with cloth on it. My go-to is a large flour sack towel. Try a small area first with a dry iron (if the material is not colorfast, you may end up with a mess). Then you might try either a dry iron/spray bottle (spray on the towel), or the steam setting.
Halloween costumes are notorious for being made with the cheapest "material" possible and thus are not meant to go through the cleaning and ironing of regular clothes.
I won't even begin to share the nightmare of ironing my daughter's high school graduation gown. It was a "one time use" garment and I was scared stiff it would go up in flames!
