The most popular question on outdoors.SE is
Is it warmer to sleep naked in a sleeping bag?Is it warmer to sleep naked in a sleeping bag?
Now, all the answers over there are not properly researched and it was suggested in one of the comments that this question might be more appropriate for skeptics.SE with which I wholeheartedly agree. For that reason I am reposting the same question here with the explicit focus on properly supported and researched answers (as are the norm on skeptics.SE), rather than personal anecdotes or claims based on experience.
A Google search will mostly show results debunking it as a 'myth', but both on outdoors.SE and on other sites there are people who do swear by this principle (I have heard it being claimed by people with experience as well).