I have Sheila Moon knee warmers, which are a bit longer than knee warmers on me. I find that the sausage effect is not so bad since I started wearing the Terry Bella shorts a couple of years ago. The high lycra content and longer length help. I always put them on first.
I have the Terry arm warmers and on one side especially, they slide down a bit and leave a gap. They are short enough, but the top is curling over and doesn't grip well enough. I think I will try the Shebeest, since I use them a lot.