Given she used to walk around without clothes as a pony in Equestria, how do you all think Sunset coped when having to wear clothes 24/7 as a human? And do you think she feels weird when losing her clothes in the times she visits Equestria?

Do you think she even has a sense of shame or does she lack that?

Given that clothes are a thing in Equestria too, she probably didn't take too long to adjust to having to wear them in the Human world. The social taboos concerning clothes would probably be odd to her during those first few days.

I like to imagine she just walks around in the nude at home.

7919899
Even if you are in Equestria wearing clothes, and they are suddenly removed while in public, you feel a sense of shame...

--Sweetie Belle

There's really nothing she should feel ashamed about. Now for the sake of argument I would say that giving her survival Instinct of being able to not only find her way through the human world but thrive she figured out pretty quickly the importance of clothes and possibly even started to enjoy them.

7919902
Not only that, but she was immediately given clothes by the portal as soon as she stepped out (just like Twi and Starlight) -- Sunset's smart enough to deduce that if even the magical portal gives you something, it has value and is probably needed to survive

There's been a ton of fics that cover this kind of topic, both sfw and nsfw. Generally it's seems there are two major camps for this.
Either she has no shame and is fine with nudity both because she didn't use to wear clothes and/or because she doesn't find the human body attractive and thus feels no embarrassment towards showing hers off.
The second option is she does feel shame. Either she just inherently has it upon becoming human( believe stories like sunsets naked mile fit here as it's never explained why she's so embarrassed) or she slowly over time begins to adapt to human values of modesty and thus does feel shame.

I believe if you look for stories in groups focused on nudity, you'll often find a folder for either sunset or the eqg world and can find plenty of examples of stories involving this concept. I can't remember it's name but there is an sfw one where fluttershy and sunset bond over enjoying recreational nudity and just spending time outdoors together.