Another alternative to thigh rub is Under Summers. They offer pretty bicycle style short underwear in pretty fabrics with or without lace accents — they call them shortlettes (they are not shapewear!) They are pretty reasonably priced too, under $35. There are lots of options from solids colors to animal prints. And there are matching camisoles. Here are a couple of my favorites:
The base layer shown in coral here comes in three other colors (turquoise, black, and silverfish). As does the print (zebra, brown leopard, and grey leopard). There is an excellent size range from XL to 6X. In the U.S. they offer free shipping for orders over $50, not sure if they ship to Canada yet or what the rate is (sent them an email and will update when I find out).
* Get your plus size fancy bicycle short underwear from Under Summers