Also, besides being sensative to the actor's needs, make sure you are putting your own twist on things. I worked with a director who was making a much bigger deal about the nudity then the actor ever would have on their own - the director's paranoia about nudity started to make the actor feel unfcomfortable. Some people do not have a problem with being nude; so make sure no one makes it a bigger deal then it needs to be.
Matt makes a great point there which hasn't yet been mentioned. While the director, costume designer, and actor are all part of these decisions, I believe that so too are you, the stage manager. Things that I draw a hard line on regarding nudity:
-All nude rehearsals are absolutely closed, no exceptions. This is usually a director's and actors' decision in normal plays, but with nudity I think you have the authority to step in and say no from the get go.
-A robe is always standing by, with an ASM or dresser on headset who can be immediately instructed to bring it out whenever necessary. If you have to hold in Tech while the actor is nude, that robe should be there instantly. Do NOT make him stand around nude while designers dither and discuss. Even if a Lighting Designer needs to work on the look for the scene and asks for a hold, robe the actor immediately, discuss with the LD his needs, work with him to have him do all he can while the actor is robed, then tell the actor that you will need him to be nude for another few minutes while the lighting designer makes his final adjustments. But every second an actor is nude onstage must be vital that he is nude.
-A robe chosen by the costume designer should be the default expectation for the curtain call and I think the stage manager should quietly encourage it and work to make it happen, until and if it becomes clear that another strong artistic choice is desired.
... and btw, what the heck is up with Terrence McNally and nudity!?? Sheesh!