even for rhythmic gymnastics, they could do something like this :
I know the girls at the local rhythmic gym wear leggins during practice (not for this reason), and it seems to work really well for them from a gymnastics point of view, so it probably wouldn't present a grip problem or anything. (like this)
they could also do 3/4 unitards like above, but fancy and a unitard.
I wouldn't mind the option to wear shorts, but I don't know if it would solve the problem. There would still be creeps out there :/