Why do you have to tell him? Just go exchange them for a larger size. I doubt he cares either way. He knows what your thighs look like.
Don't read too much into the fact that he bought ones that are too small. Most guys I know are terrible at judging size. If we aren't sure and have to guess, those of us with any sense guess low. The last thing a guy wants to do is buy you something that's too big and insult you. "What do you think I am, a cow?"
If it's not possible for you to exchange the socks without his involvement, I say just tell him they're a bit tight and you might need a larger size. So what? You are what you are. He's not going to be disappointed or look at you differently. Again--he knows what you look like. If you simply can't bear to tell him, your only other choice is to stash them away and hope he doesn't notice that you aren't wearing them.
Thanks for the question.
If you're handy with sewing you could customise them a bit at the tops so they're laced up with a ribbon or something!
Anyway I doubt he'll see you any differently, he must know you have curvy legs and it's probably something he sees as a positive, not all men want straight-up-and-down ladies!
I love your response, Guyspeak Guy. There are some PLUS-Size sites online that self larger thigh high stockings, btw.
And yeah, he obviously digs her and is probably oblivious to the intricacies of Women's sizes.
You could also just wear them scrunched up below the knee with cute undies. Put your own touch on them and he'll think they are even sexier!