OH, THE ELEGANCE of living on the cover of Vanity Fair and its followers -- the voluptuous chair enveloping you as if a lover, the flowing shawl trailing behand as you make you dramatic entrance, the bellcord to summon the servants, the touring car a waiting at the foot of the marble steps . . .And yourself, so slender you would disappear if you turned sideways, so elegant that all the world would throw diamonds and pearls at your pointed shoes.

Think of moving into an apartment on the late, late show -- life on black and white, the chrome strip running just below midway on the wall, the glittering Lalique wall sconces, the langurous chaise, the draperies billowing over the windows, the tables, the sofas and you . . .

Gordon Conway not only lived a Vanity Fair life, she designed it. Her exquisite 1920's and 1930's drawings for magazines and her costume- and set-designs for movies and the theater make up a jazzy exhibition, which just opened to the public. She served as her own model, and she was the very model of the period, as the popular song she inspired said, "That Red Head Gal."

Some 200 original drawings, a case of personal memorabilia, seven costumes, and a feather headdress will hang at The Octagon. Neiman Marcus -- who once her as an advertising illustrator -- will exhibit four costumes and 29 framed objects at its Chevy Chase store and later in Dallas. The exhibition, hung in the taste of the time with vanilla -- and claret-colored fabric and grey accents on the walls, is up through July 20 at The Octagon, 1799 New York Avenue.

These exhibits are just a few choices from the astounding Conway archive -- 2,000 pieces of costumes, drawings, diaries, letters, magazines (she saved everything) -- owned by Mr. Mrs. Marshall Allen of Mount Sion, Va. Jeanne Butler Hodges, head of the American Institute of Architects Foundation, discovered the Conway archives, in the Allen home, when she was researching The Octagon's Dolley and James Madison show. The Allens' house once belonged to Madison's mother. Conway was the last collateral descendant of James Madison, and as such lived there for two decades or so. The allens are first cousins.

Magazine illustrations, both editorial and advertisement, as well as posters, are arousing great interest today among collectors. Copies of Vanity Fair, Vogue, The Tatler, Studio, Eve, Harper's Bazaar and others of that high-style, worldly look are worth their weight in devalued dollars. Even dismembered publications are highly prized, because the color covers and even the black-and-white ads are in demand, to be framed and handsomely mounted into today's art Moderne Revival interiors.

Inglett-Watson's recent show of illustrations for Vanity Fair by Paolo Garretto, the famous Italian artist, brought prices ranging from $450 to $600. His original sketches for advertising artwork sold from $275 to $800. Sketches by Erte, Conway's Paris contemporary, in a sale last week at Christie's were expected to bring $800-$1,000.

Phillips auction house in New York recently held its second auction just devoted to posters, including some great Art Moderne ones.

The best of today's contemporary furniture could well have come from a Conway illustration -- fat chairs again offering a soft seat to cushion hard reality. Currently, no one is succeeding any better than Vladimir Kagan, who began designing such furniture as a lad (and is now the subject of a retrospective at the Fashion Institute of Technology in New York). Other manufacturers, such as Flair, Selig, and Thayer Coggin are turning out creditable furniture in the manner of the '20s.

Why the sudden feeling for the design of more than a half-century ago? Is it that people then and now had a thirst for elegance to drown their fears of depression and war?

The work of Gordon Conway going from art nouveau to art moderne was part of the explosion of creativity that existed in the brief span between World War I and II. Schraff calls it "giddy brilliance of post-World War I society."

In 1894, Conway was born in Cleborne, Texas, but she came to Washington to attend Cathedral School. In 1912 she took the grand tour in Europe, turning up in London the winter of 1916. By then, she had begun to sketch -- though, as she once wrote, as a girl she was more interested in dancing and music, planning to perform on the stage instead of designing for it. A dinner partner wrote a letter of introduction to Heyworth Campbell, the amazing art director for Conde Nast, publishers of Vanity Fair and Vogue magazines.

By 1918, she was one of the "Seven Vanities" of Vanity Fair, as the magzine's premier women illustrators were called. That year she drew both the January and August covers and collaborated on April. That was also the year that one of her rejected Vanity Fair covers became the famous red Cross Girl poster, still a major collector's piece. The next year, for Harper's Bazaar, she wrote and sketched as serial, which ran 16 months, with text and illustrations.

Apparently life was not all work -- her red hair, fashionable looks (she was quite tall, if not always slim), witand charm kept her dance cards and her diaries full.

Along the way she met Blake Ozias, manufacturer of the Delage touring car. A friend had introduced them, suggesting that he would like her illustrations for his ads and that she would fall in love with him. The friend was a prophet. They were married and moved to Europe when Prohibition came to the United States. But the marriage lasted hardly as long as Prohibition -- they were divorced in 1927.

For a decade, Schraff says, "she kept a flat in London's Bryanston Court, a studio on Rue Lauriston in Paris, and a yearly booking on an ocean liner to the United States."

Her homes were apparently in the highest Art Moderne taste, with all the furniture and interior designs of her own creation. In an illustration from The Tatler of Nov. 13, 1929, a fashionable woman with long Oriental-in-fluenced sleeves stands in front of a marvelous bed, the headboard a mass of leaves and arabesques, bell tassles to summon the ladies maid hang above it. The bed was her own, designed and slept in by her in her London apartment.

On the cover of Eve, another British magizine, on Jan. 9, 1929, she showed a limpid lady relaxing in a marvelous chair with a high back that wraps around on three sides, as though to hug the sitter. Lilies, a flower much in favor, bloom at one corner.

A fashion design for a 1930's Tatler, shows a woman in a fur trimmed ensemble perched on skyscraper shelves, in between black vases with white stripes. The rug is a zig-zag pattern. The fashionable lady's black shadow is a harlequin (a favorite role of the period).

Her "Zina" sketches, begun in Europe, were apparently meant for her private amusement and may be autobiographical: "Zina Tries Opium," for instance. But she soon began work for The Tatler. From 1928 to '30, her fashion designs dominated that magazine. Her "Jazz Lint" series, published in Eve, are part of this period.

In one, a woman in a star-spangled dress flowing with ribbons, and two women in top hats and hardly anything else, stride through a dance. In another, various men and women, all their way through what looks like the Miky Way -- they are as high as the sky. A third recalls of Leon Bakst: a man dressed in a leopard skin dances with a woman in a billowing sheer chiffon. In all this series, you can hear the trumpets blow.

Schraff says that in 1921 Conway began to design for the theater and movies. She poured out an amazing number of graphics (for posters and playbills), clothes and sets for 40 ballets, plays and revues.

Her one-bare-breast, one-bare-leg costume for the Casino de Paris, illustrated with a fan and a striding figure, could stand as a memorial statue to the period.The amazing costume has been reproduced for the Octagon show. She designed costume has been reproduced for the Octagon show. She designed costumes for "Peggy Ann" a musical by Rogers and Hart that played in London. For herself, she had fashion designs executed by Piaget and Worth as well as Chez Beth.

The largest part of the Conway archives apparently relates to her work in films from 1927 to '33. She turned out costumes and and sets for 24 feature films and perhaps nine others, made in Great Gritain. In 1933 alone she worked on 17 films. "Confetti," an extravagant musical, must have been a tour de force of beading, belting, plumes and lame for the extravagant dance numbers.

Schraff notes that the account of these years found in Conway scrapbooks and diaries might not give all the story, quoting a verse in the books: "Lives of all great men remind us/Of things that we had best avoid/One is not to leave behind us/Letters which should be destroyed." And he goes on to say that she was good at keeping her society friends and her artist friends apart.

After she inherited Mount Sion, the Madison family estate in Corbin, Va., in 1933, she returned to it the next year.The year 1936 was when the dance band stopped playing in Europe, drawned out by the military bands. The ball was over; it was time to leave the party. For the next 22 years, she led a quiet life, among her archives, until she died in 1956. Thanks to this exhibit, she and her fabulous fantasies dance again.

Philip Morris Inc. (appropriately on behalf of Virginia Slims) underwrote the tab for the exhibition and accompanying book by David Scharff ($7.50), and the "Oh, You Kid" private preview in the Octagon's garden. Of course, there's a poster ($5) showing an idealized self-portrait of the artist with a shawl. The exhibit will tour after it leaves here: to the Dallas Historical Society, Aug. 8 to Sept. 28; the Chicago Historical Society, Oct. 16 to Jan. 18, 1981, and to the Los Angeles County Museum of Art, March 12 to June 28, 1981.