DeMarcus Cousins' First Mardi Gras In NOLA ... PANTIES AND HENNY!!

He's only been in town for a week, but DeMarcus Cousins is fitting right in with the New Orleans culture ... sportin' panties on his head and drinking from a bottle of Hennessy in the Mardi Gras parade.

Boogie and Pelicans teammate Anthony Davis were honorary grand marshals ... throwing out beads and giving the crowd a bit of "Fire and Ice" action -- party style.

By looking at the crowd's reaction ... it's safe to say Cousins is already a fan favorite.