Wear them under whatever you want.

The best is probably a cheap pair of either sweat pants or those workout pants, and cut them yourself so that just the bottom of the cycling shorts just stick out.

When it's cold and I have warm leggings on, I'll normally wear a self-cut pair of shorts as well. If I'm driving somewhere, I wear them...then when I get to wherever I'm going, I take them off...that way when I stop in a store on my way home, I'm not skin-tight.