I don't wear my compression socks while riding as I believe that the muscle action is enough to pump my blood sufficiently. I do wear them when working in the office, driving the car for long periods, or flying.
Anyway, after writing that, I asked myself whether I was right... so I did a couple minutes research. There are lots of articles touting the use of compression garments while exercising... from people selling compression garments. I did find, however, a serious study: Compression Garments and Exercise: No Influence of Pressure Applied from NIH.