My advice is "this too shall pass"! My little guy (now 4 1/2) used to do the same thing. It made me crazy, but he just liked being naked. He used to step outside to pee on the patio (better, perhaps, than the floor, but no less frustrating to me!)
I decided at some point to just ignore him-no attention positive or negative. He only did this at our house-no where else. Later, as he was older and had a little better understanding, I told him the only places he could be naked were in the bathroom or in his bedroom. Then, when I would catch him with no clothes on, I would remind him of this and then ask if he wanted to put his clothes back on or go to one of those places. At some point, he decided he'd rather be in the family room than by himself in his bedroom and the problem resolved itself.
On the plus side, they are learning how to "control" that urge which will help when they are ready to potty train. :o)
Hope that helps!