No, I don't believe they wear socks. They might have worn rabbit skins over their feet if the weather is a bit chilly (as the Warrior Challenge: Romans is shot in England at Hadrian's Wall). But they never have as much comfort as the modern army have now.Mean Eyed Cat said:
And did the Roman's not wear socks or sock-type garments? Man, that would be tough just wearing sandels all the time.

(Dungeons & Dragons)
Rulebook featuring "high magic" options, including a host of new spells.