I've got short clients and skinny clients and children I work with who can't wear knee or leg warmers. Arm warmers work great!!! Try it.
How high to pull them up? They should go right up to the top of your thigh --- this will keep them in place so they won't fall down below your shorts. Oh, and they go under your shorts (not over your shorts).
edit: I meant that if you're too short or thin for traditional knee or leg warmers, put the arm warmers on your legs. Yeah, they work good on your arms too!