In the winter time it's very tempting to wear the thickest pair of stockings in your lingerie drawer but if you are planning on wearing a pair of high heeled shoes, this may not be the best look overall. High heels on a woman are very attractive and so they attract people's eyes to your legs and seeing a thick pair of school-girl type tights is unattractive.
High heeled shoes should be worn with the finest stocking fabric. "The more sheer the stocking, the more cheer the girl" was one of my Grandmothers favourite sayings but she lived back in the day's when guys were allowed to wolf-whistle a girl.
If your high heeled shoes are backless, that is they attach either with a slim strap around the top part of the heel, then you need a pair of stockings that doesn't show the heel. Some really well made stockings have a thicker fabric around the heel for comfort and durability but if you are wearing the grocery-store version, some will have a thicker heel and others won't. Choose a pair of suitable stockings to wear with backless high heeled shoes simply because it is more flattering to the rest of your leg.
The other possible problem you may or may not be aware of is how well you appear to manage your high heeled shoes. It looks uncomfortable, dangerous and clumsy to be tottering around in shoes that have too high a heel. Not only does it make you look as if you are balancing on stilts rather than sashaying down the street, it is actually very dangerous to your long term health. That is, women who wear too high a heeled shoe too often, will end up suffering severe back problems when they get older.
And these days guys aren't allowed to wolf-whistle you so you may as well be comfortable instead.