M.G.
I'm not sure if they are knee high - more like half way up shins but they worked here, and it's cold here.
Baby Gap:
http://www.gap.com/browse/product.do?cid=1070482&vid=...
Baby Old Navy (these are non skid)
http://oldnavy.gap.com/browse/product.do?cid=1067245&...
We even found their regular rolled cuff socks could be unrolled, and worn as knee highs
http://oldnavy.gap.com/browse/product.do?cid=1067245&...
They look like ankle socks, but that's cuffed three times so unroll them. Those were are main socks through the winter.