The problem with a lot of leg warmers is that leg warmer manufacturers think that people have short little legs. Same with tights manufacturers.

I have one pair of leg warmers that is the proper length for me, and one pair of tights that is the proper length for me. The rest of my leg warmers and tights are just a bit too short ... about 2-3 inches. With the short leg warmers, I still pull them up all the way (just about to my crotch), but this means that they come about 3 inches above my ankles. I wear enough other stuff around my ankles to keep them warm, so that's not a problem, it just looks a little odd.

And yes, as Jacobi mentions, they have to be loose around the knee. Not only does that help keep them up, but it also protects the knee from other problems.