Becky,
Yep hair does help keep you warmer. It traps air close to the skin so slows down cooling.
Karrin,
The smaller the denier, the finer the weave. 10 denier are often referred to as sheer and the kind of thing you'd wear if going out say somewhere swanky.
Edit: You shouldn't really wear small denier hose if you haven't got shaved legs, real fashion faux pas. Never looks good.
100 plus denier are the thick tights you see GG's wearing such that you can't see though them. They will hide hairy legs.