Clothing optional gaming! That's about as far from costumed as you can get, eh? Well, knowing this bunch, theres probably some way, heh. But no, I've never played in costume.
We don't dress up, but i have a necklace that i wear when i am the DungeonMster that acts as a badge of office of sorts. Not my idea by the way. My sons gave it to me after they saw the cover of the 1st ed DMG with the guy who has the giant key on a necklace.
They thought i should look more like that guy.