I know the real reason is "because it's fun to see the crew walking the halls in unusual costumes", but wouldn't it make more sense to provide changing facilities right inside or right next to the holodecks? And if you're doing some sort of workout scenario the way Worf or Dax would, you could shower, cool off, and change right there. Wesley wouldn't have had to drip water all over the deck in "Encounter at Farpoint", either.