The Roman Soldier's 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 worn by fashionable civilians
Footwraps: An Alternative to Udones
Footwraps are simple square or rectangular pieces of wool that are wrapped around the feet. They may be worn over udones or by themselves.
It may sound absurd to suggest that one would wrap a scrap of cloth over one'sfoot, but not only are they easy to make, they're easy to wear, are quite comfortable, and are also quite warm. Another advantage of footwraps is that you can arrange folds of cloth to protect a sore spot on your ankle or heel.
The bronze equestrian statue of Hadrian on the Capitoline in Rome depicts the emperor's feet wrapped in a cloth with a crossing overlap characteristic of footwraps. This may represent a common footwear combination for Roman cavalry at the time.
The Cancellaria Reliefs in the Vatican shown a praetorian guardsman wearing caligae wearing a footwrap, except in this case it appears to be a long narrow strip of cloth wrapped around the foot leaving the toes and heel exposed.