When it was very cold, I did put them on my TB's legs as they were old girls who appreciated a bit of warmth when it was freezing.
My present horses, only on Stinky the night before a show to keep him clean. I don't need to worry about the warmth factor as they have natural "inbuilt" leg warmers.
I put leg wraps on Ella (fronts only) as she has arthritic knees, and I think it helps to stop her from getting too stiff overnight. I wanted posh Thermatex ones, but they were a bit out of my price range, so she has the Equilibrium ones, which are nice and practical, and do the job.
Buzz wears the WWF pads with stable bandages over them they have been a life saver so far this winter and he's not been stiff at all since wearing them.
I use the thermatex ones, think they were £40 when i bought them 4 years ago but they have lasted so long. Her legs fill overnight and she is slightly arthritic and they really help.