Okay, I didn't want to wear skin tight gear either. For pretty much the same reason. But, as I got into the summer anything other than skin tight got in the way and I got over my modesty.
But, in winter, it doesn't really matter. Why? You can wear the skin tight gear under street clothes. Frankly, I'm on a budget, so I went to Wally World and bought starter compression gear. My thoughts are that basically, they fit about like I'd imagine a pair of nylons would fit.
BUT, THEY ARE THE WARMEST THINGS I'VE EVER WORN IN COLD WEATHER.
Personally, I'd accidentally bought a sleeveless compression shirt off a discount rack, and found it worked so well, I bought a short sleeve shirt and cold weather compression pants.
At this point, there is no way I'd wear them without a shirt or pants over the top, but they are warmer than thermal underwear, I only need one layer, and it is easier to remove a layer than if I were wearing bulky clothes.
Also, a good pair of pant cuff clips is invaluable. And tuck everything in.