Just clutch the skirt along your thigh and it will not do a Marilyn Monroe above the subway grate.
Me? Broke a high heel while walking. It just gave out when least expected. And, it wasn't caught in a subway grate either!
PS: Not me, however, when I was in eighth grade one of the girls in my class had the elastic on her half slip fail. It fell right to the floor in a heap. I felt sorry for her. Maybe that's why I wear full slips.