Actually this idea was addressed in an article Gary Gibson wrote for this very website.
So the article appears to say pretty much what you're thinking. I don't have first-hand experience with this, but others who do may chime in.The same sort of thing goes for squat suits. If sized properly—that is to say, you can get it on yourself
without squat suit slippers of some sort—they won’t add much at all to the weight you can use.
Rehband’s neoprene mix compression shorts will work here too. Again, the idea is to provide a little
warmth for the relatively bloodless, cold connective tissue and a little compression to the joint so that
that connective tissue doesn’t deform in bad ways during joint articulation under load.