My sister had twin little girls who were also little stinkers about things like this. They are now grown and well, intelligent and funny women...hang in there as your little girls are just forming their personalities!
However, you can work to make things better by discouraging this behavior without drawing attention to it. You say it's not a problem in public, so for a few weeks, spend more time in public! Go to the park, go to the library, go to the mall, etc. Maybe it will break the habit if there is just not opportunity to do it for a while. Maybe they'll forget!
The other thing would be to offer random opportunities for dressed little girls. Like, "who wants to skip to the mail box with me and then get a sucker for being Mommy's helper?! Oh, I'm sorry, naked little girls cannot go." Don't give them a chance to get dressed, just go without them and try again in a little while with something else. "OH! I see the most beautiful flowers at the neighbor's house I want to go smell. Who wants to come with me? Oh, naked little girls cannot go. Maybe next time!" The other thing would be to take them home from the grandparents' house the minute they get naked and just say, "we cannot be naked in front of other people, not even Grandma and Grandpa. Let's go home."
Hope these things help. If not, just enjoy this time they are comfortable in their own skin and at home to do this. It will get better soon, I'm sure.