I was thinking about this too for shorts, leggings or other dresses. I once lifted a pair of expensive running shorts by wearing them under a flowy knee-length skirt. Strapping them to your legs with bandages sounds risky because the merch could fall out as you are walking out the store! But maybe if you use enough to wrap your leg (like a mummy) it could work, haha.
Be careful of any bulkiness that could show impressions underneath the dress as you move. To hide this, definitely wear a loose dress with patterns (like this: https://www.amazon.com/dp/B00ZE8TFWW/ref=cm_sw_r_awd_K.i8wb6FPBD4T). Don't wear anything clingy like this: https://www.amazon.com/dp/B010EZP2JY/ref=cm_sw_r_awd_s9i8wbJAH6NT9