As a native English (US) speaker, he sleeps "in his clothes," "with his clothes on" and "with clothes on" are all perfectly acceptable and are all common ways to express that same idea. However, the first two would work better in the past tense, as in, "he slept with his clothes on."
I put "He sleeps with the clothes" – I thought it was strange, but I imagined some bloke, or perhaps a cat, sleeping in a wardrobe. I understand now why that is totally mistaken – but its was accepted, and it definitely should NOT be accepted.
It's nice to have little turns of phrase like this - and easy to remember!