It is at first, but we get used to it. Same with a bra. When we're 12 they feel like they are odd, but over time we can't not have one on anymore. Hose is sort of the same thing. The first while it feels like something weird is on all the time, but after a while, we get used to it. As for no underwear, again, it's getting used to it.
Think of you wearing a watch or a ring. The first while you always are conscious of it, but then after a while you forget about it. Then, if you take it off you feel like you're missing something.