Wear tights... or not?
The tights make the foot slide forward in the shoe. Suddenly, the forefoot is more compressed, the shoe seems too big at the back, the foot is not stable and turns a little in the shoe especially during the pivots, which makes the posture and the steps much less precise and forces you to slow down your movements. Personally I find it disabling to dance with tights. I need my foot to "stick" a bit in the shoe.
But it's up to you, we are in agreement. There are loads of perfectly valid reasons why we wear them that I don't have to discuss or pass judgment on.
For chilly people, I tend to recommend "leggings" type footless tights. I wear them very often, especially since I travel a lot by bike, so I'm more comfortable with leggings when I'm wearing a skirt. You will find many different models and colors on some well-known websites, for very low prices.
Leaving the milonga, if it's cold outside, put on your socks and your boots and you're done. In very cold weather, or if my skirt is a little too short/sexy and I have to take the metro, I even sometimes add gaiters to avoid attracting the looks, remarks, or even the gestures that we know unfortunately all too well.
And keep in mind that in many milongas there is a place to change.