Along with the Bermuda shorts already mentioned, I'm quite used to wearing "shooting" or "walking" socks with short trousers. I -personally speaking, here- wouldn't wear anything other than hose pulled up with the kilt. Wool is a breathable fibre, so it will keep you cool, to a degree, in warmer weather. In very hot weather, if you don't want to wear short socks or scrunched down kilt hose, why not get some cotton hose?

Mark - O