Latex clothing is expensive for a reason: the shine! This rubber-like fabric is extremely temperamental, so you must avoid oils, solvents, heat and sharp objects -- the smallest cut can cause an unstoppable tear. Be gentle when you shine a latex garment; the smallest tear can ruin your clothing.
Choose a product made specifically for shining latex clothes. A number of special-purpose silicone lubricants are available to shine your latex, but most silicone lubricants will create a wet look that doesn't leave a greasy film on the clothing. Silicone spray works well for a quick shine; but make sure to apply it outdoors, because the spray is harsh.
Apply a generous amount of silicone lubricant to the cloth and coat the garment gently with the silicone. Don't rub hard because the fabric is delicate and you can damage the surface. Spread the silicone evenly over the garment. It's easier to wear your latex and have a helper polish your clothes for you for consistency.
Check your work under good lighting and touch up any unpolished spots. And don't despair -- the more you shine your garment, the better the gleam. The latex will absorb the silicone lubricant, so several applications will create a better sheen.