Flamenco skirts and dresses require a lot of material - allow 2 metres (2.5 yards) for a simple skirt and 3 or 4 metres for a dress. That much fabric is heavy! Bear that in mind when buying fabric to make a flamenco dress, and look for materials that are on the lighter side.
Don't go too far, though - very light material won't move well (or will fly up too easily!), unless you add a lot of ruffles to add weight at the hem. It may also be see-through - and voila, you have to add a lining, which adds to the weight, so you're back where you started.
Many professionally-made dresses have a cotton lining, for strength and sweat absorption - but make your own decision as to whether you need one. Modern polyester fabrics hold their shape much better and don't really need a lining to support them, especially if you reinforce your seams.
As for sweat absorption - if you wear a separate cotton-lycra cami under your dress, it will absorb sweat just as well, and is easier to wash - and you don't have to worry about it shrinking out of synch with the dress. If the dress has sleeves, you can also sew sweat guards under the arms.
Oh yes, use the same type of material for lining as your skirt/dress/top. My very first flamenco skirt that I made, my main fabric was poly and I used a cotton lining, and being a total newbie, I didn’t prewash/shrink the fabric so as the cotton shrunk it puckered the sides of the poly skirt where the lining was (I only line the waist to the mid/upper thigh). That was 3yrs ago and now I’m a tiny bit more sewing savvy. For non-flamenco projects I’ve used a poly/cotton blend, prewashed/shrunk this time, with success, I think I’ll try that for skirts/dresses.
Nevv, my professionally-made flamenco dress had a cotton lining but it wasn’t sewn into the seams – it did shrink a bit but because it was only attached at the shoulders, it didn’t really matter. I hated it, though, and cut it out! The dress was actually more comfortable without it.