Everyone is wearing gloves, even Dr Eggman. Even if they aren't wearing anything else. One scene of Sonic X even shows Rouge bathing with her gloves on! Also, in Sonic Unleashed, when Sonic turns to the Werehog, his gloves get ripped off, but then they become Magic Pants as they reapear. The reason for this is the same reason the Hulk keeps his Magic Pants, you're naked on Sonic's world without gloves. Mobian Moral Guardians force everyone to wear gloves.
This is also the reason we don't see reproductive organs on any of the naked animals- said organs are found on forelimbs.