My question is, as a species, when did our hair start thinning out? When did we start to become "hairless" apes? Did we start wearing the hides of other animals because of this transition or did we start loosing our hair when we started wearing clothes?
Our ancestors had gained thick pubic hair around 3.3 million years ago. By this time we had already lost our body hair. Head and pubic lice share different common ancestors so we can say we had lost all body hair and
gained pubic hair by 3.3 million years ago. Our naked ancestors and gorillas were...probably eating each other.
How we know this is really interesting. It's head and pubic lice. Head lice share a common ancestor with our closest relative, chimpanzees. Pubic lice share an ancestor with the lice found in gorillas. Chimpanzee/head/gorilla/pubic lice share a common ancestor.
Chimp and head lice diverged about 5.5 million years ago. Pubic and gorilla lice diverged as early as 3.3 million years ago. Body lice are considered to be the same species as head lice with multiple origin dates. Which likely matches the various and multiple inventions of clothing around the world.
Hair poses interesting evolutionary questions. Our cousins don't have pubic hair. It's likely we evolved pubic hair as a sign of sexual maturity and to help carry smell. While our loss of body hair may be to help us cool off, signal health (look, I have no infection), or some other reason.
If you're really interested, you can read and find more sources here: http://www.ncbi.nlm.nih.gov/pmc/articles/PMC2687769/