Ok, there's a twofold answer to that question. 1: They're called Babylegs and you can buy them either online (http://www.babylegs.com
) or at some of the schmancier Targets. I used them on her as young as 4 months, they can be used on newborns, it just wasn't cold enough to warrant them before November that year.
2: For God's sake don't pay $12 a pair for those things, I only bought one official pair (the Union Jacks) because they were on sale and I couldn't make that particular style myself. Make your own. They're so stinkin' easy, once you get the hang of it you can turn out a pair in about 5 minutes. Probably less if you're doing more than one at a time.
The ones I made (and I eventually made about 10 pair) started out as knee socks. (That's why I bought the Union Jacks, couldn't find socks with that pattern) The top cuff of the sock stays on, then you cut off the stuff below the heel. Then that cut off section and cut off the heel and the toe, you'll end up with a section that's about 4" long and a tube. If you were wearing the sock this is where the arch and ball of your foot would go. Fold this tube over on itself so you have a two-layer-thick tube with the right sides out. Then feed the top part of the sock through so that all the raw edges match up, and sew the three layers together on the sleeve arm of your machine.
I swear to God, they're one seam. If you're making for a newborn you can make the cuff smaller or the sock shorter, or start out with crew socks instead of knee socks. This is a great time of year for this, too since all the fun Halloween and Christmas socks are going to go on el-cheapo sale after the holidays.
There's an even simpler tutorial here: http://littlebirdiesecrets.blogspot.com/2008/10/baby-legs-tutorial-make-your-own-leg.html
but for babies you'll probably want to thread some elastic through the "new" cuff to keep them from slipping off the foot. They're stupid easy and really addictive. Have fun! They make diaper changes a breeze at night and I love her rainbow ones sticking out from under dresses.