Join Date: Dec 2010
Location: northern Deep South
Bikes: Fuji Touring, Novara Randonee
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Brr. Leg warmers are OK for me down to about +5C; I'll go with tights below that, and heavy tights below -5C.
To respond to your original question, you want to roll your bike shorts up, pull the warmers up, then roll the shorts over the top of the warmers. The part of your shorts that grips your legs will then help hold up the warmers.
(In my case, then pedal a mile, stop, and re-adjust the warmers and shorts. Another reason I like tights when it gets cold!)