Udones (socks)
The very idea that socks were even worn during the Roman period was only recently brought to general attention by their mention in one of the first translated writing tablets from Vindolanda. However, their existence in Roman contexts had long been known from other sources. A close examination of the Cancelleria Relief, reveals that at least one of the Praetorians was wearing socks that were open at the toes and heels; these are visible between the straps on his leather boots, and were probably a contrasting color, like those worm by fashionable civilians.
Wearing socks undoubtedly provided a degree of protection from chafing by the leather caligae. However, the open design of the early caligae allowed air to circulate and was free draining, so that if the feet did get wet, they would dry quicker if the soldier were not wearing socks.
Under normal campaign conditions they would probably be dispensed with. Being that Legio IX was stationed in Britannia during our time period, AND the fact that Britannia is wet and cold to this day, 'tis very likely that they would have had (and often worn) udones.