You can easily purchase cycling specific leg and arm warmers. It is quite common to wear such things in cold climates. So why wouldn't gym leg warmers be effective? Good idea using them. Many years ago I had a set or "women's" leg warmers I used for converting a short sleeve sweatshirt into a long sleeve bike shirt. It worked. And when it warms up just take the sleeves right off. And they were dirt cheap on sale somewhere.