Musannaf Ibn Abi Shayba 3:794

Ghundar narrated to us, from Shu'bah, from al-Hakam, from Qays ibn Abi Hazim, who said: Khalid ibn al-Walid led us in prayer while wearing a single garment among the delegations, and he had crossed its two ends over his shoulders. The companions of the Prophet, may Allah bless him and grant him peace, followed him in that.