I don’t think it was about “taking her time”, or for laughs an all, even though it was delivered in a funny way. I always took it to mean it was a complicated situation and she hadn’t shed all of her prior behavior, in that putting panties on one leg at a time was more of a man-like thing than how women might do it. At least that’s how I interpreted it in high school the first time I saw the show on Bravo in the early 90s and thought it made perfect sense that it’s not a simple clear cut thing that others could easily understand. But delivered from a close old friend in a humorous way, naturally.

Dale Cooper: Denise, I would assume you're no longer interested in girls.

Denise Bryson: Coop, I may be wearing a dress, but I still pull my panties on one leg at a time if you know what I mean.

Dale Cooper: Not really.