How can I approach my male friends to express my concerns about their comments without causing unnecessary conflict within our friend group?

Pro tip: there already IS unnecessary conflict. While you can't say "hey that's not ok, quit it" in a way that guarantees no hurt feelings, it's also not your job to manage their feelings for them. Better to dump the Grenade Of Discomfort in the lap of those acting shittily than leaving it with the makeup-wearing person getting bullied. If they want to not get told off for bullying, they can choose to behave better.