My youngest is the only naked kid of my bunch. I think it started when he was potty training and he was so proud of his big boy underwear that it was all he wanted to wear. He and his brothers started stripping down to their underwear and playing superheroes, running up and down the hall.
Anyway, we finally came to a compromise. He had to wear at least underwear when he's at home. You know, as a parent you have to pick your battles...
Now as soon as he gets home, he strips down to the underwear and puts his clothes neatly aside. If you say that someone is coming over or we are going somewhere, he'll put his clothes back on and he's ready to go. As soon as we get back, it's underwear time again.
If he wants to go outside and play - same thing - he'll get dressed and then as soon as he comes back in, underwear time.
I figured he'd grow out of it, but he's almost 6 and still does it...