If there are ways to get them as alterable costumes, I haven't come across them yet. As far as I know, the changes are all dictated by the story. The Prince wears his royal attire, up to the point where he officially becomes the head of his own army. His McDohl-esque attire is for undercover purposes, while he's stuck in his official costume for most of the game.
Georg's a permanent change. For being the newest Queen's Knight, he sure is quick to throw away the uniform.
Lyon wears her purple dress when going undercover, otherwise she's in her Knight's uniform.
Kyle's attire is for undercover as well but he is hardly seen in his alternate outfit, honestly.
The other Knights are stuck in their uniforms for the entire game.