The very first item I bought was an emerald green silk camisole. That was from a catalog, and I never had to worry about what anyone else thought of me when ordering.
The first item I bought in a brick and mortar store was a matching black bra and panty set from Victoria's Secret. I remember telling the sales woman there that they were for my girlfriend. I'm sure that she saw right through me. She gave me a very knowing look, and said "you have very nice taste".
I have never bought anything in person and actually indicated in any way that it was for me. However, I have learned to stop offering up information. The less you say, the less chances for the sales clerk to say or think anything about what you are buying.