I would say yes! Even if you are in an accident and the EMT's or docs have to cut your clothes off. They aren't going to care. Trust me, they have seen it all and won't think a thing of it. They won't (shouldn't) even ask about it. The only thing they are concerned with is taking care of you at that point.
I don't under dress if I'm going to the gym or somewhere where I will have to change in a public place like a locker room. That would be risky, but anywhere else... GO FOR IT.
