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When choosing sports socks, first consider your shoes. Lightweight competition shoes, such as track spikes or cycling shoes, may fit more comfortably with a thinner sock than the thicker style you wear for long practice sessions in heavier training shoes. But if you like the extra padding that thicker socks provide, stick with them on competition day. Make sure you test the shoe/sock combination in practice first, and be consistent with what you wear during your training period and competition day. When you find a fit you like, buy similar socks when you buy new shoes.
A sports sock that's too big will bunch up inside a shoe. At best this will be uncomfortable. At worst, you'll get blisters. A sock that's too small will restrict your foot's range of motion, and will wear out more quickly because your toes will start to poke through from the excess friction during your workouts.
Most socks are sold by approximate shoe size, but if you are faced with small, medium, or large, use your judgment. If the fit is too snug, or not snug enough, try a different size. It's worth the effort to get it right.
If you are participating in outdoor activities during the winter, the right socks can help you avoid cold and uncomfortable feet. Most runners can wear their usual running socks outside year-round because the constant motion of running tends to keep the blood flowing fairly well to the hands and feet. But if you're skiing, ice skating, sledding, or playing outside in the snow, your feet can get cold, and sports socks can help keep you warm, dry, and comfortable.
Like any other sports gear, sports socks wear out. Although they are more durable than casual or dress socks, you ask more work of them, and a thin spot or a hole can make the difference between blistering or not blistering during a long workout or an important competition. Also, socks that become too stretched out can bunch up inside your shoes and make you uncomfortable.
The key to happy feet: Monitor the condition of your sports socks, and when they are visibly worn, or if you notice uncomfortable rubbing in your shoes because they are getting thin, it's time to replace them. Recyclers, don't despair: Worn out sports socks make great rags. They are especially good for such projects as polishing furniture, when you need to get into a lot of nooks and crannies. Just slip the sock over your hand, add polish, and go. Then you can throw out the sock with a clear conscience.
Some types of sport socks are designed with extra padding in certain high-impact areas. For example, some brands of socks, such as Thor-lo, have extra padding in the heels and forefoot area, which some manufacturers call "impact zones." Some sports socks have extra stretchiness in the arch or extra padding on the top of the foot, below the shoelaces.
Read the tags. Some socks that that don't have much padding can be used interchangeably for many activities, but socks that are specifically designed for hiking, for example, are meant to fit well in hiking boots, and they might be too thick and padded to fit well in sneakers.
But socks described as padded for running can certainly be worn for walking and any other sport, and if you have orthotics or other shoe inserts that require you to remove some of the extra cushioning from your athletic shoes, you may appreciate getting some of that lost padding back by wearing thicker socks.