Your essay plan needs to consider what about the theme of loss of innocence you want to write about. That will become your thesis statement. Next you will need to decide what details and quotes from the story support your thesis. Those will become the basis of the body paragraphs of the essay.
One possible thesis could be to argue that a loss of innocence isn't necessarily a bad thing, and it doesn't have to completely overtake the nature of a person.
Your body paragraphs could analyze examples of Leila's innocent response to the experience of the whole dance experience. You could break these down chronologically: the preparations for and travel to the dance, and then the early part of the dance. You should comment on her reactions to the people, the place, the atmosphere, her Sheridan cousin's, other dance guests, etc. How do her reactions suggest her youth innocence and naivete?
You need to have one paragraph analyzing the affect of the older heavy-set man who dances with her and makes the fateful comments about the fact that she will be old one day and will be chaperoning instead of dancing. This represents the loss of innocence. The dance, for those minutes, has lost its magical quality.
You must include a paragraph analyzing the difference between the aforementioned dance with the fat man to the next dance with the young handsome man where she seems to regain the youthful joy of the dance, thus proving that the loss of innocence isn't a permanent mark of misery -- it is merely a fact of life. Perhaps a fact that will make her enjoy and appreciate her life as it is right now because times will bring change to her.