The problem of having no place to change is common enough for at least one company to market a solution.
Changing Robes
[color:"blue"]
"Creative Designs is introducing an exciting new patented product, the Change-A-Robe. Used by the cast and crew of Baywatch, this is a hooded, poncho style changing robe made of thick quality velour terry cloth. The unisex robe features a full hood, deep scoop neck opening to look inside robe while changing, large inside pouch to store clothing before and after changing, two large outside pockets, zippered front opening over inside pouch with a flap. The inside pouch can be accessed from inside or outside of robe. This robe is everything in one. You can change under it, dry off with it, wear it to stay warm, pack inside pouch ahead of time, sit or lay on it like a blanket.
This portable changing garment is ideal for changing anywhere, out of wet dive or swimwear into dry clothing and can be worn between swimming or diving activities to block the wind and stay warm. The unisex robe is available in dark royal blue. One size fits all."[/color]
Of course, an old plastic poncho would probably work just as well