According to what I have read and seen the past few days, while you won’t see Mexican men cross-dressing on a regular basis, it is quite common for comparsas. There is a small plaza that is on my way to the Zocalo, and I have seen several groups readying themselves for the parades.
In Spanish class we learned that some men may ask quinceañeras to use their old dresses. If someone consents, she does so with the understanding that it will likely be destroyed in the revelry.
We even saw a comparsa from Oaxaca on Youtube that features some very intoxicated adult men masquerading in these fancy dresses, butterfly wings, and more.
Sometimes watching them ready in the plaza was as interesting as the final product snaking down the crowded street.