As far as etiquette at the store, I can't help because I get mine online, but I have some pro tips for finding the right ones!

If you have a lady friend with a similar body type to you, ask what size she wears. Even if she's propositionally smaller or larger than you, you should be able to scale the info to your size.

Get proper measurements. Crotch to ankle on the inside of the leg, around the thigh, and around the waist above the hips and on the hips. Knowing these, you can literally just measure the fit if not order them on measures.

Look for high waisted tights. Ladies don't have the extra hardware between the legs so the inseam can go all the way up, guys normally need 2-5in free space. Unless you're planning on tucking constantly, getting high waisted means they aren't halfway off your butt all day.

It helps to shave your legs while you're getting used to them. The hairs can get tangled, pulled and itchy for a while when you're first getting used to them.

I use mine as lining for pants during winter, if that's your plan, go for a shiny, less cottony fabric. The synthetics don't pill as easily and don't have as much friction when pulling on jeans. Also, aim for less than more. You may think you want those fur lined flanel tights, but under other pants, those are going to have you cooking like a goose. They're made to replace pants so pretend they're a whole layer on their own.