Trying these for the first time. Not working out too well. They keep slipping down. Is this hassle just part of riding with them? And would "wind pants" take the place of leg warmers?

My leg warmers don't fall down if I tuck them underneath my cycling shorts and pull them up high enough that they're on the widest part of my thigh. I don't have any experience with arm warmers.

You could just use safety pins, or it could be that you need one size smaller.

I have a feeling you have gotten a size too big. They're supposed to be snug. It also helps if you put them on first.

Or you could need better ones with better grippers. They do vary. Mine don't fall down. When it's cool, I put on my undershirt first, then arm warmers on top of that, then jersey over the arm warmers. Leg warmers: I put on socks first, then the leg warmers, pulled up high, then the shorts.

One word. Assos! best arm and leg warmers I have ever used, and my current ones are in their 5th season. Well worth the money.