It is narrated from Sayyiduna Abdullah bin Umar (may Allah be pleased with them both) (and Nafi' held that it could only be from the Messenger of Allah (peace and blessings be upon him)) that he (peace and blessings be upon him) said: "When one of you is about to pray, let him wear his two garments, for Allah Almighty is more deserving that one should adorn oneself for Him. If someone does not have two garments, let him tie on a waist-wrapper. And let none of you wrap the garment around himself in his prayer, that is, wrapping the sheet the way the Jews do, so that the hands cannot come out."
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الصلاة / 3271