Most costumes are listed as "details" under some other costume (usually but not always the default), just search around in character select. When you've selected an outfit, press ctrl+0 to save it, and then 0 to load it. Then press f9+(some key from this chart) to choose a scene. Then go to extras -> movies -> private paradise, and select the character/costume.
It sounds twenty times worse than it actually is, you'll get used to it.