Dress however you want to! And your therapist is probably going to ask things to find out what you need and how to best help you. Be honest, as lying won't really help you in therapy. Feel free to ask any questions you have too. And the most important thing, I think, is to know that you don't have to stick with the first therapist you go to. My first therapist didn't specialize in gender and when I came out to her she said some unintentionally transphobic things (she was just generally really uneducated about it), so I tried out a few more therapists until I found the one I go to now. Therapy is about you. If it's uncomfortable or not helping, then some changes should be made!