Cold weather doesn't bother my knees (so far). I wear Under Armor when it actually gets cold, but they are too warm when it's in in the 40's. Knee warmers might work, but I feel like they would just be uncomfortable and I would take them off. I do use arm warmers occasionally when I can't decide if I need a real base layer up top, or when it's gonna be cold at the start of the ride but then warm up some.
It's the "so far" that concerns me. You don't want to find out that the research is right the hard way. Granted, from what I've read some people claim to never have an issue, but I tend to wonder if that's more of a "boiling frog" result than anything else. You know how they say that if you drop a frog in boiling water it'll jump right out, but if you put him in room temperature water and then slowly bring it to a boil, he'll stay in it until he dies. I think this is the same thing with people who claim no impact from cold weather on their knees and joints. I think the impact occurs slowly over time and their level of expectation in what they can do changes with it, so they think they're unaffected, when in fact they not only lose functionality, but they lose the expectation of functionality as well. It only makes sense -- your knees use synovial fluid, which doesn't function 100% efficiently in cold.
So seriously -- think about covering your knees even if you don't feel like you absolutely need it. It can't hurt, but the alternative can.
On another note, based on this thread, I was just doing some searching on prices for winter gear. Man, there is quite a range out there! You can get pretty cheap stuff from some of the more wholesale or larger online places (like Performance or REI), or you can go full douchebag with high end stuff from Rapha or (the absolute pinnacle of unnecessary expense that I would nonetheless fork over some money to have if I found an extra couple hundred bucks lying around), Kitsbow. As far as I can tell, these are as much about style as function - the Williams-Sonoma of the cycling world. But damn if their stuff doesn't look good! And I'm sure it's great to use - I actually have a pair of Smartwool knee warmers I got for Xmas a few years ago and they're really, really nice. But I prefer to use my super-cheap Adidas ones when I am doing longer rides precisely because they aren't made as well: the elastic at the top of the Smartwool ones is as good as new while the Adidas pair is frayed and loose. But my quads are thick (because ... SS!) so I prefer the looser feel when I'm out all day. The cheaper stuff works fine in my experience, so there is no need to spend that money, but if you're looking at Rapha, Assos and/or Kitsbow gear, "bargain-hunting " is probably not your primary focus anyway.
Edit: BTW, here's an insider tip for ways to get some great gear at a discount: contact Twin Six about being on their Metal Crew. I was a part of the Metal Crew for years and one of the perks is a discount on everything you buy. Twin Six is based out of Minneapolis and they make some pretty awesome functional winter gear -- their knickers and tights are extremely well made and comfortable and their baggy 3/4 shorts are great for everything from commuting to taking yoga classes (super stretchy and they don't bunch up, which is exactly the opposite of me when it comes to yoga.) They make almost everything in both summer and winter weight, too, and the fit is consistent. I think the only requirement to join the Metal Crew is that you sign up and represent them by actually using the gear. You don't have to race or any of that. You just have to be into riding.
