I think that the choice would be up to him. Once he returned, his task was completed in the fullest. He had rallied the forces of Middle-Earth and had 'pushed' them into defeating Sauron.
Correct me if I'm wrong, but I believe that he was bound to his human form only while his task was not yet done. If that is the case, then I would think that he would be able to release that form once he had completed his objective. This makes me believe that he would return to his previous way of existance, which would mean he could freely choose whatever 'clothing' he wanted.
Maiar are like Valar in that they can choose their form, or choose not to have a form (which, in Gandalf's case, would mean going 'uncloaked'.
Wow, never thought I'd say that in the Books.) They could look like a human if they wanted, or look like a dwarf, or a bear, or a rock for that matter. You can see that they can be anything by the fact that Ulmo spoke to Turin (I believe I'm right) while appearing clad as (or in) the sea. So they could look like whatever they wanted.
Once he was released from his manly body, he would have been free to be anything or nothing as he desired. I'd tend to agree with
Farael in that he would probably be a man when interacting with Bilbo and Frodo. Other than that, well, he probably went uncloaked.