Another nifty trick for small people is some men's L/XL arm warmers. I stole a pair of Canari arm warmers from my husband since they make great leg warmers for me. Perfect for days when I don't quite want tights, but want a little more coverage than knee warmers.

As far as knee warmer creep goes - I'd say either your shorts are a bit big - if they are even a little baggy around your thigh your knee warmers won't stay up or you need to wear them with shorts that have a good silicone gripper. I have a nice pair of Assos knee warmers that will creep down if they are worn under shorts with only an elastic leg gripper.