It definately depends on the child. The first time we did Cinderella's Castle princess breakfast, she went in her Cinderella dress. It was either July or August, so very hot. I brought clothes to change into after the breakfast, but she wanted no part of it. Thinking back I even think that it might have been a scratchy type one. But everybody was making a fuss over her and she refused to take it off. Of course, everyone was staring at me like how could I make my daughter wear that dress in the hot weather....which, up until then, was what I would think about other people when I say their children in the costumes all day. I really think it was the attention that she was receiving that made her insist on keeping it on.
The one time I did insist that she take her costume off was the year of the white Mary Poppins dress costume. I had to carry that outfit around almost the whole week before we saw Mary Poppins in the same white dress. Not sure how it is now, but back then Mary Poppins was at the Grand Floridian, but in the black outfit, and the characters were not guaranteed at the castle, and of course, when we went to the castle breakfast, Mary Poppins was not there that day. It was a cast member who made the Mary Poppins meet happen towards the end of our stay and it was definately one of our most magical memories there.