# I am coming as a thief

Jesus will come at a time when people do not expect him, just as a thief comes when not expected. See how you translated a similar phrase in Revelation 3:3.

# keeping his garments on

Some versions translate this as, "keeping his garments with him."

# does not walk around naked

"does not live foolishly" 

# they do not see his shameful condition

Here the word "they" refers to other people.