The Caledonians were a confederation of different tribal groups. So you could use different existing ranges of British Celts to represent them, even adding Pictish figures if you like.
As regards clothing simple tunics and breeches were worn through the bronze and iron ages into the dark ages, so you needn't worry to much about that. I'd suggest differentiating your tribal units by using different colours, shield designs or even shield types.
For example a western tribe could have a scattering of Irish, a northern one a more Pictish look while the southern tribes might look more like Britons. The use of Pictish heads on British Celt figures might be a simple way of making them look different.