They do? How do we know that?
There are several references to clothing in heaven. Such as...
Revelation: chapter six, verses 9-11
9. When he opened the fifth seal, I saw under the Alter the souls of those who where slain for the word of God and for the testimony which they held.
10. And they cried with a loud voice, saying, "How long, oh Lord, Holy and true, until you judge and avenge our blood on those who dwell on the Earth?"
11. Then a white robe was given to them; and it was said onto them they should rest a little while longer, until both the number of their fellow servant and their brethren, who would be killed as they where, was completed.
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Mark 16, verses 5-7
5. And entering the tomb, they saw a young man clothed in a long white robe; and they where alarmed.
6. But he said to them, "Do not be alarmed. You seek Jesus of Nazareth, who was crucified. He is risen! He is not here. See the place where they laid him.
7. But go tell his disciples, and peter, that he is going before you into Galilee; there you will see him, as he said to you.
Revelation, chapter 19, verse 11-14
11. Now I saw heaven open and behold, A white horse. And he who sat on it was called faithful and true, and in righteousness he judges and makes war.
12. His eyes where like a flame of fire, and on his head where many crowns. He had a name written that no man knew except himself.
13. He was clothed in a robe dipped in blood, and his name was called "The word of God."
14. And the armies in heaven, clothed in fine linen, white and clean, followed him on white horses.
I'm sorry it's so long, I just wanted to make sure to have plenty of examples.