When you're a beginner, my advice is to keep it simple and see what you feel comfortable with as you go along.
There are a few things to consider when you dress for a Pilates workout. First, make sure your clothes give enough to let you move and stretch fully. I will need to be able to see your body well enough to see the alignment of you bones and how your muscles are engaging. You will also want to avoid baggy clothes because some Pilates exercises could be a bit revealing if your clothes are too loose. Pilates is usually done barefoot, if you feel more comfortable you can wear socks.
You will also want to avoid excess accessories while you work out. Long necklaces, belts, dangling bracelets and such could not only be distracting, but could be dangerous. Similarly, hair needs to be out of the face and tied back if it is long.
