CDfriend, you should just tell yourself you have a friend who likes to wear pantyhose and panties once in awhile, and just leave it at that. It's no big deal, really.
And one last thing, it sounds as if your friend sees his CDing as a rather intimate, private thing. And so he may well have felt as if he was emotionally cheating on his girlfriend by having shared something so private with you, and since he loves her he may feel as if he shouldn't have done that. You should respect this and maybe try to just let it go.