What an interesting question! I'll bet there are lots of different answers--depending on various factors, such as the nature of the relationship and of the place we're living in, who else lives there besides, the size of the clothing collection, and so on.
There are several answers for myself alone. The main one is for the decades I was married to my (sadly late) wife, and that was easy because luckily she accepted my dressing. I kept my female clothes iin a guest bedroom--and still do; dresses and so forth in the closet, underwear in drawers. It became "Marianne's room."
But at other periods in my life, depending on circumstances, I have concealed clothing in other places:
In that "box in the basement," hidden among junk that nobody looks into;
In a communal storage area in the attic of an apartment block;
In lockable bedroom drawers that my parents never looked into;
And in a "secret room" I once had; though that's "a whole 'nother story" (as Kipling put it) that I ought to tell in a separate post.