The only time I've seen costume changes done well in the context of a masquerade is when it's a costume hidden beneath another where the top layer is very easily pulled away - like tossing off a large trenchcoat, cloak, bathrobe, etc. It's usually referred to as a "reveal." A friend of mine did an amazing performance last year where she did five different concept Wonder Woman costumes in less than 45 seconds - each layer was an instant easy peel-away that she was able to undo and swish elegantly off her body while doing a twirl across the stage until she got down to hipster!WW in jeans and a t-shirt at the bottom layer. The key was in designing how the costumes would flow from one to the other and then incorporating it into the performance itself.
That said, masquerade performances aren't the same as theatre. A lot of things that fly on a theatre stage won't do at all on a masquerade stage. Not the least of which is disappearing for more than 10 seconds. It really does depend on the costumes, though - I would not recommend an actual stripping down and getting into another costume. You would do better being able to wear both at once, in layers, plus or minus a hat or prop or something that can be handed to you when the change is complete. People really enjoy reveals, it's part of the ooh and aah factor of masquerades when you reveal a whole 'nother costume somehow. But completely changing, particularly if your character is the focus of the skit and/or you don't have an enormous group carrying the rest of the skit while you disappear, is much harder to do.
Founder and Vice-President, Madison Area Costuming Society, a chapter of the International Costumer's Guild
Strange Land Costuming - www.strangelandcostumes.com