There's a few things about Destiny that strike me as odd; the inability to preview a Shader (the item that changes your Guardian's outfit color scheme) being one of those head scratchers.
Seriously, how do you spend millions on a game and overlook this? Or maybe it was intentional as a way to get you to spend more Glimmer? Whatever the case, you can't do it — at least not in-game.
Fortunately, there's now a website, Destiny Tracker, that lets you preview how a Shader will look on your own character. By entering your Xbox Gamertag or PlayStation ID, you can see how every Shader will look on the armor your character currently has equipped.
Note: Heavy traffic to the website may result in some slow results. I guess this is something a lot of Destiny players want.