It's simple. In between sets of weights, I do a yoga pose (or two poses). Assuming I do 15 sets of weight lifting, I'll get about 15 minutes of yoga/stretching done over the course of my weight routine. Often that's more than enough stretching for me. Sometimes I'll do another 10 minutes post-weights.
The usual lightweight clothing, anti-sweat athletic wear that dries quickly will do just great. For men its light tees with shorts and women can wear a tank top or sports bra with shorts or lightweight pilates memphis yoga-style pants.
Speed up the time you spend working out (kill 2 birds with 1 stone). Relieve boredom - I don't like sitting on a bench between sets. Improve flexibility which is fantastic and arguably critical for any level of fitness. It's actually an excellent way to rest between weight sets.
A lot of people want to go for the thinnest mat that gives them the most padding. I strongly suggest going for a thicker yoga memphis mat for your hot yoga class. Many of the positions will be really strenuous on your joints, having the extra cushioning will do you wonders. I have even seen people have two yoga mat's in their Bikram yoga class, they will switch out for the thicker mat when doing these positions. I personally think that's a little excessive, but whatever you prefer!
I was one of the naysayers when it came to yoga. Last year my buddy and I made a bet. If I lost I had to go to hot yoga class with him. If I won he had to go jogging with me. I've spent a year in yoga class now, and I'm so glad I lost that wager. I was sure that stretching into a pretzel would do nothing for me, but not only am I staying fit, I feel amazing.
You will also need to wear the right clothes when you go for your exercise session. You are certainly going there to become fit but there is no harm to give in to some vanity. Yoga classes tend to be filled with very stylish people and you will feel very much out of place if you too are not as well dressed as they are.