It all depends on whether you have small legs or larger ones.(Plus what feels the most comfortable) On cold early morning rides when you know the temp will rise rapidly. I leave them on the outside of my shorts. If I know its going to stay cold I tuck them under the shorts it just seems to make a better seal and I don't have worry about them sliding down.
Definately tuck under your shorts. If you pull them over your shorts they will most likely slide because the grip doesn't stick well to lycra, nylon, spandex, etc... Plus if you tuck them the shorts will help hold them there as well.
I posted this over in the road (or was it general?) forum, but you could try to flip up the hem of your shorts and then put the leg warmers over that. The lip from the shorts helps keep the legwarmers up.