We sailed for the first time last month and had the same question. We opted to dress in regular clothes and pack swim stuff in our carry-on bags.
We get to deck 9 with the kids (DS 6yr and DD 8yr), and the pools are completely empty. They are excited to be the first ones in. But first we had to locate restrooms (the location is not exactly obvious the first time you sail) and then maneuver around the tiny space of a cruiseliner stall with a suddenly modest kid. Not to mention keeping track of the carry-ons because the stateroom isn't ready yet.
Alas, when we are finally ready, their were plenty of others splashing around the pools. So either these other people boarded with swim wear on or they changed in front of all of deck 9. Common sense tells me the former is true.
So next trip, my son and I will board with swim trunks and t-shirts and my wife and daughter plan to wear swimsuits under their shorts and t-shirt. My wife thought about wearing her official cover-up, but changed her mind to shorts and a t-shirt over the suit when she remembered the shutters photographer taking all those pre-boarding pictures.
Hope that helps.