This post is from 2009. Really an old one with the poster never coming back after posted initially in 2009.
Hi there, exploring is a normal part of life. Wanting to sleep naked isn't any big deal. Maybe he's too hot wearing pj's. Maybe they make him feel uncomfortable. My 7.5 yr old sleeps in his undies all the time and has for about two yrs. It could be -50 degrees out and he's still running around here in his undies being told to put some clothes on. Don't worry, when he feels the need to get dressed for bed, he will.
Do you feel he is wrong to explore himself? Or has he ever been abused? Have you ever spoken with him about him playing with his penis? What does he say about it? Does he give a reason why he does it? He's at a great age to sit him down and talk to him about these types of issues. It is a normal part of life. Tell him if he's gonna do, to do it in the privacy of his bedroom and no where else. Explain to him how there are certain things that are private and doesn't need to be shared with the people. Kids are pretty smart. He'll probably understand for the most part the point of the conversation. This is the best time to open up the communication lines with him and have them for life. Make this a good example to him that he can come to you about anything. Have a heart to heart with him. I hope this helps you out. Good Luck. If you need any more help, please do not hesitate to ask.