One other thing, cycling shorts are comfortable, far more so than regular underwear. If you feel self-conscious wearing them out do what I do - I wear cycling shorts and put a pair of outer shorts over the top. I've got some walking trousers with legs that zip off at about knee level - combining the two means I'm not inflicting the sight of me in Lycra on the world while I get to cycle in comfort, and also have external pockets to keep my wallet, allen keys etc.