I wish you better luck: I heard the same line back in my twenties. I wore nothing BUT silk stockings (finding a garter was quite a pain) as pantyhose was the "IN" thing). Didn't change the hair on my legs at all. And I wore silk hose for two years straight. I think there's a genetic and/or hormone relationship to "hair".
It wouldn't surprise me if it were true, actually. I would love to wear silk ones, and am even willing to hunt up a garter for them, but my boys would have them ripped in a second...if not them, then my cats would. :) Regular stockings (not full on pantyhose, ewww) tend to squish your thighs in an unflattering way if you want them to stay up, in my experience. I work out, too! LOL