I don't think it's much of a big deal as it used to be, depending on where you live, I guess.  10 years ago, though, I was a little more surreptitious, avoiding an area if there were too many women.  Otherwise, I would gradually move on to a different rack or aisle if I became uncomfortable with others nearby.  Christmas was a great time to shop lingerie, especially, in years past.  They assume you're shopping for someone else. 
These days, I even see other men doing the same thing while I'm shopping.  
Wendi offers sage advice; have confidence, keep your head up, you belong there as much as the next person. 
But if you're nervous, a cover story doesn't hurt, avoiding a potentially embarrassing scene. 
( "Uh, I'm shopping for my mother...", while tripping over and toppling a rack of bras.) Not that I've ever done that.  
