I vetoed the leg warmers because of the fat that sticks out between the elastic in the leg warms and the elastic in the shorts.

I simply where full pant style leg warmers over my cycling shorts. They sell some specifically for cycling, which I have from Pearl Izumi, but I also have a basic pair from Target that does the same thing. I only where them on days when I am pretty confident I won't want to take them off and I find I rarely get uncomfortably hot in them. Maybe a little warmer than I'd like to be, but not much. I suppose I could buy a pair of "cycling pants" with the chamois in them, but at least I do have the option of taking off the pants if I really, really want to.

But to answer you question, yes, they go "under" your shorts.