My husband likes wearing women's knickers. He says it's because women's knickers are sexier than men's and truth be told, I have to agree with him. Men's underwear is quite boring really.
He loves it when I touch him when he's wearing women's underwear ... I don't think it's "wrong" - I just think it's a different way of pleasuring yourself. Not wrong, maybe a bit kinky (which is kinda why I like it!!)
He loves the feel of lace/cotton against his skin. Men enjoy the feel of lace etc. against their skin don't they? I agree with Midman - if you have an understanding girlfriend, she may even pleasure you this way .... fortunately for my husband, he has an understanding wife!! 
If women's underwear on a woman feels sexy to a man, why shouldn't the more intimate feeling of a woman's undies on a man feel good?
