Yes, he did, and I got it from a Whitman Scholar.  Some years ago, a guest professor gave a lecture in a graduate Literature class I was taking.  He arrived in blue jeans, red underwear showing under a plaid shirt with rolled-up sleeves and with a frazzled gray beard, he looked authenic Whitman.  Once he informed us about the long johns, also called Union suits, well, that was it for me–I love trivia.   

Walt Whitman died in 1892 but in 1895 the Montgomery Ward Catalog was selling Union Suits for 10 cents a piece–I checked it out.  Wonder what he paid?