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 your 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. You may also find it useful to wear breathable fabrics and multiple layers so you can adjust what you are wearing depending on the exercise and temperature of the room. 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.