Hi Carl,
as Einion suggests, there are several ways to go about it depending on how see through the clothing is and the colour. For very shear, paint the whole figure in the flesh tones as if it is nude, and then slowly add a very thin coating of the clothing colour where it is needed. Where the clothing is touching the skin, leave it almost full flesh colour and where there are folds in the clothing, build up the clothing colour bit by bit until you get the desired effect. This is almost like shading any other piece of clothing but you are using a different colour than a different shade of the same colour.
Ben