Rarely, probably because I'm an agency-girl. I suspect indies get more of those requests.
The few times I've had clothing requests, they were very tame, such as black stockings, or the leather corset I'm wearing in my sig pic. So, not a nuisance at all, and a very easy way to make a client happy.
I rarely have sex with clothes on, but I more often than not keep my heels on. I love my heels, I rarely get to wear them in my 'civilian' life, so when I'm working, I want to get as much mileage out of them as possible! And yes, I have somewhat of a shoe fetish.