We had a make your own pizza activity during our last sleepover. 
Made individual crusts, then put the sauce, cheese, and all of the
toppings I could think of on the table, then we baked and ate them. 
Same idea also works with ice cream sundaes.  If you live in an area
where you can have open burning, have a backyard campfire and let them
"camp out"  Make Smores, roast hot dogs, sleep in sleeping bags.   

beads -- there are great beads out there now, cheap, with alphabet letters
and many colors, etc.  They loved making bracelets, anklets and necklaces.

Hair braiding and wrapping -- If you can't wrap hair they still loved
getting little pieces of hair braided (much faster than wrapping) and it's
pretty easy to thread some beads onto a braid.

Fingernails -- Painting their fingernails especially with all the blues,
yellows, greens, purples, etc. available.  You can get lots of sets of
fingernail decals (cheap) and our girls loved them.