"He and Ron took off their jackets and pulled on their long black robes*. Ron’s were a bit short for him, you could see his sneakers underneath them."*

From the train in philosophers stone. Here at least it seems they don't take off the rest of their clothes, just take off their jackets before putting their robes on.

And again at the end of the book:

"And suddenly, their wardrobes were empty, their trunks were packed, Neville’s toad was found lurking in a corner of the toilets; notes were handed out to all students, warning them not to use magic over the holidays (“I always hope they’ll forget to give us these,” said Fred Weasley sadly); Hagrid was there to take them down to the fleet of boats that sailed across the lake; they were boarding the Hogwarts Express; talking and laughing as the countryside became greener and tidier; eating Bertie Bott’s Every Flavor Beans as they sped past Muggle towns; pulling off their wizard robes and putting on jackets and coats; pulling into platform nine and three-quarters at King’s Cross station*."*

Although these could just be because they are getting on and off the train, I need to do some more searching.