^^^ this. good quality warmers that fit. Otherwise, safety pins. I've also seen people put the warmers over the shorts, I would say it didn't look pro, except the person doing it was an actual pro.

Panache warmers have a wide gripper that works well without leaving a thigh bulge. My favorite by far of all the ones I've had:
GS Panache Knee Warmers - Panache Cyclewear, Co.