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Shoes - best bet for winter would be some nice boots, ankle high is cute, knee high is okay. Most colours are okay, depends on the rest of the outfit really.
Dress - most colours will go with grey except more grey. You might get away with it if it's a much darker shade of grey. It's quite a light grey from the pic, so lighter colours probably won't look as great. I think tights look best when they create a contrast. But really, I would just try out whatever and see how it looks.

Also omg how can you not have owned tights before, I wear tights almost every day (mostly because I don't like wearing trousers).

I have a pair of tights almost exactly like that.
I wear mine with a navy longsleeved dress, dark grey legwarmers (that act more as faux socks), and black knee high boots.
Though I really, really would like some dark brown boots/shoes with these tights.
Some healed booties would look adorable too; ankle high, paired with a tick sock on top of the tights!
For the dress, go for a cotton blend, or a soft material, so long as it's not knit; any dark color will do (forest green, navy, maroon, black).
If you have a skirt, you can mix and match even more, and layer it with a cardigan on top.
Tights can be as casual and as fancy as you want them to be, especially these thick ones! :3

What Streetlights said about the big, baggy jumper with a belt. And some dyke boots/Doc Martens etc etc Whatever you like.
There are so many possibilities but they're so good for winter!

Leather shorts~

Not advisable with tight-fitting pants unless you want to chafe/itch like a mofo.