I went completely nude for an acting final a few years ago. Wearing the robe and waiting was the worst part. Once I was onstage and delivering my lines, it became completely all right. No one was judging my nudity, and I was more concerned about doing the scene than I was about people seeing me naked.
It's really not the actual performance at all which is rough; it's the hours preceding going onstage, particularly the ten minutes or so right before you go on that's the killer. Once you get out there, though, you're completely cool.
That's been my experience, and the experience of everyone I know who's done something similar.
I also did Rocky Horror for a few years, which entailed my being in nothing but lingerie on a weekly basis. I legitimately have no modesty now.