Responses

I think he needs a dress or skirt of some sort so that his skin is exposed and could be covered with wax, the cloth would have caught on fire. I do think he took the opportunity though to add their own personal style I mean why not? strange clothes would add to the spiritual/supernatural element and he gets to look hot plus it goes well with the heels (which they need to avoid burning their feet on the hot coals, regular shoes would have had too much surface area and were often made of fabric so they would have caught fire as well)
I don't get why he had to dress like that for proving the miracle..