The first answer that came to mind was some cotton pyjamas and a night cap LOL. But that's too dorky even for him.

But I think it depends on the situation, in winter he does probably sleep in some comfy pyjamas, while in the summer he just switches to boxer briefs and sleeps like that.

Though if it's one of those nights both him and Skadi don't bother getting dressed back up after the deed and just sleep naked in eachother's embrace