You can find or receive recipes for armor (clothing), craft it, and wear it. If you have clothing in your pack, you can put it on using the equipment screen (C key, Equipment tab). Clothing can fall under various ranks and types and differs based on your stats.

In general, all clothing provides defense from:

Damage from anomalies.
The temperature's effects.
Physical damage.
Psy damage.
Clothing can wear out: it must be repaired, or else it will be less effective in defending you.