If you feel you have to be "covered," look into a wrap/stretch type skirt (like the ones Terry sells) that you can wear over anything. Athleta sells running tights and knickers with attached skirts (a skort with tights), but they are expensive. I really don't need any warmth underneath until it goes down to 32. I already have Ibex wool boxers for nordic skiing, so I use those.
Really, no one is looking at your body when you run by. And, if they are, who cares? Any runner I see, especially in the winter, I think, "good for him/her."
2015 Trek Silque SSL
Specialized Oura
2011 Guru Praemio
Specialized Oura
2017 Specialized Ariel Sport