"Classy" is a rare category of goth. You will not find studded collars, PVC or heavy make-up. "Classy" goth people aren't always recognized immediately as goth, but are always noticed.

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[edit] Steps

Choose any color of clothing. Keep most colors dull and neutral. Save anything brighter for special occasions. Black is not necessary.
Make sure you're dressed well. For men: buttoned shirts with laces, ruffles and jabots are best. Vests, waistcoats, classic jackets and trench coats are great accessories as well and will add a classy touch. For women: skirts and dresses. They can be flowy with a Baroque style, or simple and uniform. Knee-length pants go with knee-high socks (white) and elegant shoes or knee-length boots. The key is to not overdo it.
Try to use elegant, high quality materials in your wardrobe- satins, silks, velvets, taffetas, and venetian lace are all extremely beautiful.
Coordinate your colors. For example, do not wear a crimson suit with a green jabot. This isn't Christmas.
Wear simple makeup. Do not use corpse paint or make your face completely white. Some white or very light powder, scarlet lipstick and a touch of eyeliner will complete the look much more elegantly.
Be polite, even when debating with people.
Express yourself with art, prose, poetry or music.
Listen to classic, Gregorian and/or Opera music (along with gothic rock, of course).
When meeting with friends or hosting social gatherings, you may want to try doing somthing classy, yet not overly formal. Ideas for this may be picnics or afternoon tea.
Decorate your room with veils of black lace and numerous white candles. Ensure the candles are white and not black to stay with the "classy" Goth look.
Avoid using slang and cursing. It is unbecoming.
Keep a small circle of friends, both Gothic and non-Gothic, but classy nonetheless.
If you can afford it, then take a trip to a theater every now and then. Classical music concerts, operas, ballets, classic plays, and period pieces are all wonderful choices.
Talk as infrequently as possible and when you do, speak quietly and clearly. Do not yell. This will assure you have a special attitude and grace.
Challenge your intellect. Read, discuss philosophical and theological ideas, and if you're in school, try to keep your grades high.
Indulge in gentle, graceful laughter; don't be loud and obnoxious.
Study dancing, fencing, horse-riding (preferably English), archery, and the like.
Learn a dead language (Latin is best).
Eat healthy food. Burgers and snacks do not have much to do with classics. Don't forget your table manners.
Carry a few small, but classy things. A small journal, pocketwatch, or book will add an interesting touch to your look.
Always be elegant and graceful.

[edit] Tips

Recommended authors and poets: Goethe, Blake, Poe, Shakespeare, Marlowe, Tennyson, Byron, Anais Nin, Gorey, Wilde, Keats, Chaucer, Morliere, Hawthorne, Dickinson.
Cross dressing goes well, as well as gender-roles.
Carrying a locket with a picture of someone dear to you will add to your romantic-yet-sad aura.
If you feel like applying a Gothic touch to your clothing, try using black laces/roses/silk scarves/jewelry. Do not wear studded collars or bracelets.
Remember, gossip isn't classy.
Wear clothing that looks/feels soft. It will add to your image of sensitivity. Velvet, satin, and silk are fine choices.
Sometimes little things can add touches of class to your life. Use antique handkerchiefs instead of tissues, try to get old elegant copies of classic books, drink your morning tea from an actual tea cup, and fill your home with sepia-toned or black and white photos of friends and family in elegant frames.
You don't have to be affluent in order to dress like a classy goth and decorate your home well. Thrift shops are your friend when it comes to finding unique furniture, antique books, and elegant clothing, all without a massive price tag.
Remember, being a classy gothic aristocrat has more to do with how you conduct yourself than how many luxurious things you can afford!
Never think of girls as hot, but think of them as cute, pretty, or even alluring.

[edit] Warnings

This will not make you cooler, or more popular. It will just help you to be your classy self and let everyone know it.
If you do not feel comfortable about one or more things of the written above, do not use them. Being fake is not classy.