My thoughts on this:
I think you should dress for the situation. I went to this sort of club once, with a friend who asked me, strictly as an observer. I wore a slinky dress that had a high neck, and hit about two inches above my knees, and a pair of heeled sandals, because it was warm weather. (I have worn this outfit to an outdoor wedding on the beach). My experience was that, while people did come up and say hello, there was usually a sort of guarded watchfulness - so if someone actually gathers the nerve to make any advances, you only have to politely decline, and people in this setting are usually very respectful of 'No, thank you'.
If you are going to write erotica that sells (and makes you some money!), it needs to come from an objective, non-judgemental viewpoint. And if this particular erotica is based on your personal observations and experiences, again, your observations should come from an objective, non-judgemental frame of mind - especially if your goal is true, honest research and feedback from the people you observe and/or interview.
I guess what I am saying is, if you deliberately dress in a frumpy or ultra-conservative manner - people around you may change their behaviors or avoid your proximity altogether - even if you never so much as say hello or make eye contact.
Be prepared to see a very wide range of age, body types, and array of clothing, or, ahem, none at all. That didn't weird me out, because when I lived in Japan, I used to go to the local bathhouse. I am not really bothered by nudity. What did weird me out was that there was a food buffet - and clouds and clouds of cigarette smoke, because the venue allowed smoking indoors. Yuck.
At the end of our visit (we stayed about 90 minutes, I think), I didn't feel the need to burn my clothes, but that dress did have to go to the dry-cleaners for the cigarette smoke.