I usually do. I find that it's more appropriate to wear spandex/shorts under skirts and dresses because not only does it protect you from pervs sneaking a peak but there are some cases where things happen whether you have to bend over or the wind blows and you wouldn't want to be exposed.
This probably isn't the answer you want to hear, but if you've got what guys like, don't worry about it. Sooo many girls only wish that guys found them attractive and wanted to look at them. Guys aren't automatically pervs because you're an attractive female and they want to look... it's how the man/woman dynamic works. There's certain things I'm sure you like to look at with a man's physique, and you won't want all men to hide that. Of course, there are limits, I understand that... but a man can walk into any store and see women's underwear. He's not just looking at underwear, he's looking at you because you look good and it affects the sexual part of a guys brain. Sure, you can hide it if you'd like, but before you know it, you'll be older and men won't notice you like that anymore. It's really not that bad to be desired. It's a compliment. Good luck!
Wearing spandex under your dress is publishing to the world that you are insecure. Yes it will avoid pervs from looking at your underwear. It will also give the good guys a feeling that you are overrated!!