In the books, there's basically no mention of wizards wearing anything under their robes other than underpants (or in extreme cases nothing at all).
Order of the Phoenix
Snape was hanging upside-down in the air, his robes falling over his
head to reveal skinny, pallid legs and a pair of greying underpants.
Prisoner of Azkaban
Harry took off his black school robes, removed his wand from his
pocket, and stuck it inside the T-shirt he was going to wear under his
Deathly Hallows (edited by me for brevity)
She led them down a side street, then into the shelter of a shadowy
alleyway. ‘When you say you’ve got the Cloak, and clothes …’ said
Harry, frowning at Hermione, who was carrying nothing except her small
beaded handbag, in which she was now rummaging. ‘Yes, they’re here,’
said Hermione, and to Harry and Ron’s utter astonishment, she pulled
out a pair of jeans, a sweatshirt, some maroon socks and, finally, the
silvery Invisibility Cloak.
Ron, hurry up and change …’....‘When did you do all this?’ Harry
asked, as Ron stripped off his robes....‘You’re amazing, you are,’
said Ron, handing her his bundled-up robes....
[note the lack of mention of him covering his little wizard while he changed]
Goblet of Fire
Harry, Ron and Hermione joined it, right behind a pair of men
who were having a heated argument. One of them was a very old wizard
who was wearing a long flowery nightgown. The other was clearly a
Ministry wizard; he was holding out a pair of pinstriped trousers and
almost crying with exasperation. ‘Just put them on, Archie, there’s a
good chap, you can’t walk around like that, the Muggle on the gate’s
already getting suspicious –’ ‘I bought this in a Muggle shop,’ said
the old wizard stubbornly. ‘Muggles wear them.’ ‘Muggle women wear
them, Archie, not the men, they wear these,’ said the Ministry wizard,
and he brandished the pinstriped trousers. ‘I’m not putting them on,’
said old Archie in indignation. ‘I like a healthy breeze round my
I personally like to think that Hermione is wearing this under her robes, but that's just me.