My DH has a pair of Descente knee warmers that have the gripper on the outside - so that when you wear them under your shorts - they grip your shorts, not your skin. They seem to work great for him. I suppose it's the same theory that DebW uses by wearing them on the outside.
I have Trek knee warmers and they're good for the 7 mile ride into work on a cool a.m. when I know I'll just need the shorts for the ride home, but that's about it. But often, I do have to deal with a gap forming at my hamstrings.
One thing I do notice tho', is that knee warmers can't be "re-used." Once I take mine off during a ride, they're stretched out and useless until I wash them and they seem to shrink back into shape a bit.