A therapist' office should be a judgement-free zone. If it's not, you need to find an accepting therapist. My first therapist tried to be accepting, but sometimes he acted as if he was creeped out. He explicitly discouraged me from dressing. I found a new therapist.
I've had several therapists and I dressed for all of them, but not all the time.
You have to work on the logistics. I can't dress at home, so I often change in the car. Since I usually go out on weekends, I've identified some remote parking lots and garages in which to change. For the therapists, I usually changed (and changed back) in the office's bathroom.