Hmmmm... I always thought it did them alphabetically (not that I pay a lot of attention). Personally I'd suggest moving the ones you want archived to a different location on your hard drive so that the game doesn't display them at all.
Perhaps 'library' would have been a better word. I like to have all my costumes up there because when I want to work on a costume, around 60% of the time I load up something I've already got.
I was hoping for something like:
Storm - Original
Storm - Ouroboros
Storm - Vanguard
Storm - Cimerora
Storm - Suit
Storm - Winter
Storm - Halloween
Amy - Uniform
Amy - Original
Amy - Cimerora
and so on.
If anyone else is interested, after rummaging around the costume folder, I'm pretty sure the game orders them based on the 'Date created' tag. While there's probably some work around to change the tag, I think some deleting, copying, pasting, saving, and rearranging is in order. Thanks anyway. 
Assuming it does order them by date, the easiest way to change that is to simply open the costume file in Notepad or Wordpad, and resave it. However, you may not have permissions to edit files in your Program Files directory, so you might have to copy it into a work directory to edit it and then copy it back. (I'm fairly sure just copying doesn't change the modified date, you have to edit it)
Seriously, I could have sworn they appear in game in alphabetical order, though. 
Yep. It's definitely alphabetical. Currently looking at my costume load screen and my costumes directory. So, really, all you have to do is rename the files into the order you want. (I just prefix 'em with M-, F-, or H-, depending on the gender...
EDIT: Oh, and the filename you can rename them to can be longer than what the game will allow you to save. The costume names'll display fine and will load with no problems.
If it's alphabetical, I don't know what so special about my client (EU maybe? Can't see why that would make a difference), but it was ordering them based on date created. Definitely. My list used to be all over the place, alphabetically speaking. I've now re-ordered it in my own way, and it displays in the order I've copied the files back, which still isn't alphabetical. 
Does anyone know of a method of rearranging my saved .costume files? My list has got a little ugly as of late, and while I'm considering deleting the nasty stuff and saving some newer stuff to archive it, to know a way to reorder my costumes would be fantastic. I know that it orders them based on what order they were saved in, so how does it call that back? Is there a timestamp in the file I could change or something?
Anyway, any help would be much appreciated.