I don't like leg warmers- they create "Michelin Man" lumps on my thighs. When it is cool I wear capris, when its cold I wear capris with knee sox. You can also start with a good pair of shorts (I am a Sugoi fan), and when it is cold wear a pair of tights over them- they don't have to be "cycling" tights.

I think most shorts have grippers, if you don't like the feel of them on your skin just roll them up.