You can also buy dance briefs. These are essentially the bottom of a leotard, and they look more like a *garment* than like underwear, largely because they're full-coverage and made of a heavier material than lingerie. I have only been able to find them in red, black, and royal:
http://www.discountdance.com/frame_s...age_TB_p1.html
I'll bet you could find more colors on a cheerleading site.
Just be *very* sure that you can't see the outline through your skirt. If it's sheer enough that you can see where the briefs end and your skin begins, it'll look TACKY. Have you ever seen a woman wearing white pants and blue underwear? Seriously - YUCK! (This applies to boyshorts and bikeshorts too.)
I still prefer to wear sheer harems under my skirts (you really can't tell they're there unless your skirt flies up or you do skirt manipulations), since I don't like to show any part of my legs. I like the rest of my body better, and I find that larger-busted dancers can't get away with showing as much skin as more average dancers can.
Another idea I've been toying with is making some stretchy miniskirts to wear over chiffon skirts (to produce a mermaid skirt effect). I haven't tried it yet, so I don't know if it'll work. The idea was to produce a different style, but it would make harems unnecessary.