I use the age-old "foam rubber in the pantyhose" trick. Cut two ovals out of 1" thick foam rubber and trim the edges so they have a nice easy taper to them. If you cut the edge thin enough and carefully arrange them in the panty hose so they don't bunch up they look great. Just make sure your skirt covers them.
And if you have something that's high-cut (like the Urd costume I just did) you can put them under three layers of tight tights. The tights will be tight enough to smash the edge of the foam down to where it's nearly invisible and opaque enough to hide the color change from your skin. And also opaque enough to hide your leg hair, so no shaving.
I'll load some pics into my gallery soon- but not tonight- i gotta sleep...