1. My conception is that just as the valar's ethereal vision becomes physical
through Illuvatar's extertion, the clothes the valar think becomes physical
through the same power....but it's like a little bit of that creative power has
been given to each valar enough so that they can physically manifest something
minor like their clothes.
2. I picture them each quite different. Tulkas looks like Hercules or
something. Manwe is all ghostly, made of like mist and billowing white
cloud. My vision of Ulmo is basically made by that great painting I
forget who did. The star one is all robed in darkness but has a bright
light shining from her at the same time somehow, maybe a little like Galadriel
looks. Yavanna looks like Poison Ivy from the Batman movie. They
are all about the same proportion as Sauron in the film prologue: superhuman
but not gigantic.
3. I think that Tolkien is trying to emphasize what makes the Valar different
from regular creatures. It's something like the valars spirits are more
fundamental than their physical
manifestations.