Apparently:
They are warm blooded, but have a silvery blood (presumably to better carry the psychic energies they feed on as nutrients). Their skin soft and is moistened with mucus, which gives off a smell that can best be described as extremely faint and akin to a combination of garlic or onions and vanilla. However, because they are totally bizarre creatures, they don't breathe through their skin like a normal slimy creature does. Instead they are forced to use the lungs they "inherited" from whatever host creature they were morphed from. The mucus only holds in water, and more importantly, psionic energy.
But the kicker is:
The reason they put on robes is because they develop a warped sense of aesthetics as a byproduct of eating humanoid brains and being subtly influenced by their thoughts. Most peoples think that people with mental powers (A.K.A spellcasters) wear robes, therefore the Mindflayers think they should wear robes, as a kind of memetic infection. Mindflayers of Thoon don't suffer from this "contamination" (they have a bigger contamination problem), and don't wear robes as a result.