My son, age 3 1/2, loves to wear costumes. He immediately changes into a costume when he gets home from school everyday and wears if for the rest of the day (he doesn't necessarily play like the character he has become, but he just likes to wear it). In the mornings he is very particular about what he wears (has to be soft and fuzzy) and gets very upset when those clothes are not available. On Saturday he has to wear fancy clothes to synagogue and hates to put them on. (We all change to play clothes after lunch on Saturdays and then he is very happy.) He does not complain about the fancy clothes once they are on, but complains and cries when we put them on him.
This is how we handle it. Saturday morning is a must. During the week we bought him more of the clothes he likes. When he wants to change (in the mornings) he changes himself. When he wants us to change him I am 'busy' as this way I am not encouraging his behavior.
What is wrong with him wearing what he wants (unless it is absolutely necessary)? The only problem with him changing clothes all the time is the laundry, if you have enough clothes does it really matter?
Choose your battles and this one, to me, is not one I would choose.