Seems to me that you've read a some of the posts on this forum, as you seem to have the terminology (gg, cd, etc.) down pretty quickly.
You said
From what he has told me, aside from the joking, this appears to be new to him ,too.
I'm on several other forums, and I'm not too familier with other instances where a CD, who is "new" to this, is so open with a new girlfriend. Commendable, to say the least, but suspicious to me. Passed experience tells me that for someone to be so open so soon, they have been at the CDing a while, and have experienced rejection later in the relationship because of it, and thus have decided to be up front sooner than later.
As for the apparent joking, it appears he's testing you to see how tolerant/accepting you may be. Probably a result of past rejections as well.
So, now's the time to have a heart-to-heart talk.
You may want to know how often he dresses up.
Does he go out dressed. If so, where to.
Are you interested in meeting some of his CDing frineds, if any.
Was he honest with you about this being new to him.
Where does he see this CDing going. More frequently, etc.
Does he have any pictures, and would you be intersted in seeing them.
What do you think about seeing him dressed enfemme.