You can wear anything you like, but unless you want to wear a man's kilt and kilt hose--which I don't think looks right, but let's not get into that here--it probably looks better for women to wear thicker knee socks with a kilted skirt.

And the women I know--all the women I know--certainly make that kind of combination look good. And women's knee socks are proably cheaper than kilt hose.

But as always, you can wear whatever you like.