Having never been, genuine question...
Are there lockers? People can't hop on the bus in their pup hoods and jocks? Do people all arrive in giant trench coats, peeling them off in the foyer to reveal their fetish gear?
What's the deal??
There's a cloakroom. Most people seem to wear very little, so it's not much of a problem to undress there. And there's no dress code so you can do what you like.