わたしたちは全員、服を着たままチューリッヒ湖に飛び込んだ 

=)

"我々" is too formal and written language.

Japanese don't use to say "我々" in daily conversation, normaly we say "わたしたち".

And "全員" or "みんな" is better than "すべて" for people.

Myabe, You translated "with our clothes" literally.

It's not wrong but "服を着たまま" is better.

For example, normaly "with my shoes" is translated to "靴をはいたまま".

我々はすべて私たちの服と私達は服を着たままチューリッヒ湖に飛び込んだ
=)

Sounds like fun :)