So I feel obligated to provide a different opinion here. I wear undies under my cycling shorts. Ack, blasphemy, outrage, scandalous!

I've tried with and without underwear and finally settled on using undies.

I think it is personal preferrence, but I would at least suggest you try it both ways. See what you are comfortable with and then go with that. I would let your comfort dictate the choice and not conventional wisdom.