I have a friend *ahem* who was wondering -- If you are going to wear compression socks during a race, at what point do you put them on?
I see people wearing those things on the bike and run at HIMs and IMs so I would presume that you would put them on in T1.
Last year at IMFL while helping a friend dig through a pile of special need bags the day after the race, I noticed that a lot of people put the socks in their specials needs run bags. Since they didn't use them, I guessed the best place is either t1 or T2 and not the specials need bags.
If you plan to wear compression socks in a race, I would definitely put them on before the race starts. It takes me a good 2 or 3 minutes to put on compression socks (it's a lot harder than putting on regular socks)... doing that in transition would add a few minutes to your overall time (thus more than negating any positive time savings the compression socks will create). Plus, it's no big deal if the socks get wet on the swim... they still work when wet, and they will be soaked in sweat after the bike & run anyway! Maybe consider getting the ones that stop at the ankle (vs the ones that cover the whole foot) for tri-racing purposes... that way the wet compression socks (wet either from the swim water or sweating on the bike) won't give you blisters on the run. I like to put mine on either when I'm unpacking my bag during transition setup or when I'm waiting in line for the portajohn (a great way to utilize that time spent waiting!)
people usually put them on before the swim, they just wear them under their wetsuit.
Like Luke said, most also use the sleeveless version so your feet don't stay wet.
personally, i don't know how much good it does and i've always heard you shouldn't wear compression socks during distance events lasting over 3 hours.