The way I deal with others questioning the way I dress is: can't change their way of thinking nor always make them respect the way I think, but what I CAN do is be secure and proud to be the individual that I am!
I have had to tell my mother, "No, I don't feel comfortable wearing that", or my best friend, "No, that's not me". They get frustrated, but when out shopping, that's when I like to just goof around with it. Try something completely ridiculous on and make them laugh. And if you see something you're tempted to buy, that you Know isn't conservative enough? Just start praying for strength and walk away.
The excuse of "That isn't me" is very useful in doing away with peer pressure, and assuring yourself that you are making the right choices- and it's honest!
It is hard to find clothes though that aren't "in style", for what is in style is often very sensual and flirty. You can still buy clothes that support things you love though, and what you stand for.