Hmm, I've never thought about that. It's a good question! I've always thought of "kinky" as referring to actions, and "naughty" as more of a mindset.
To actually think about it as per your question...
I think "naughty" is doing something that is traditionally against the (very basic) norm... playing with toys, anal play, watching the other person masturbate, spankings... Things that make us feel a little "bad" when we do them- like it's something we "shouldn't" be doing.
I think "kinky" can encompass those things, but I see it as a little (to a LOT) more risqué.
Maybe: all fetishes are kinky, but not necessarily naughty. Being spanked is naughty (and kinky). Being caned is kinky.
Someone dressed as you mentioned would be dressed kinky (though they wouldn't necessarily have to ACT kinky!), but if they were actually a submissive, they'd be acting very naughty! So then: "naughty" could also be defined as doing something that is traditionally against one's own personal norm.
Just throwing some thoughts out there! I don't think there's a true answer.