On my first tri in May I did the try shorts with a bathing suit top and then threw a shirt on over the suit for the bike/run. I found it very difficult to get the shirt on over my wet body.

For my second one I bought a tri-top will build in bra (disclaimer - i don't have a lot to support) and that worked much better.

This is the one I bought and I really liked it:

http://www.teamestrogen.com/prodSU_11210F.html

I think I spend a minute in the transition area the first tri just trying to get my shirt unstuck from my skin.