I don't think you can find any underwear. But it can be bought from Rose in Bareshade.
Personally I always play with:
Weapon | Lizard's Spear/ Razit's Spear |
Head | Glasses |
Torso | Harness |
Accessory | Glowing Amulet + Lizard's Piercing/ Nameless Cock Ring |
Pants | Arion's Loincloth |
Underwear | - |
Shoes | Specter's Shoes |
Might not be the best items, but it fits my playstyle. Just try to find something that you personally enjoy playing, since the gear can more than make up for other stats that you might be leveling up.