Well nobody's ever asked 'cos I've only been out shopping while dressed once. People at the shoe store, and the makeup counter were very polite, but I could tell they could tell. I think they were as much amused as any thing else.
But I have volunteered the information a few times while just dressed as what's-his-name, (at a MAC store no problem obviously), at a terrific shoe store where I tried on about 10 pairs of shoes and boots with the help of a very polite SA, and at a Victoria's Secret where I got to have a long educational talk with a manager ( she was interested enough that she helped me personally for a half an hour without pawning me off on a SA). So all in all, a number of very good experiences and no bad ones!