In the DMFA universe, which most of my characters are based off, Incubi and succubi prefer tight-fitting outfits because they are easier to make by shapeshifting if they are are caught without clothes for some reason. http://dmfa.katbox.net/comic/1283
With real clothing they can also magically summon solid materials more easily than cloth, e.g. the last panel in this: http://dmfa.katbox.net/comic/652

...maybe it's just me, but I figure they'd combine those two concepts whenever they can get away with it.