Thongs and g-strings are only any good when trying to keep panty lines away. Or when trying to seduce a partner that really just loves your ass.
There's no point in making yourself wear them unless you really "need" to. If you have to wear a certain pair of pants or certain dress and nothing else works, then that's the time to wear one but otherwise it's silly, I think. They can be super uncomfortable, especially for someone who's not used to it.
However, if you do NEED to wear one, they don't take too long to get used to. It feels really weird but you have to get one that's just a little loose, so it's not tight against your bum, and just deal with the wedgie feeling. It will pass.
As for other sexy underthings, you should be able to find almost anything you want in cotton. Lace is not required for sexy. Personally I like just basic black bikini-cut undies and a black push-up bra with lace at the top of the cups, where it doesn't really touch me, though without lace looks fine too.
Your comfort is so much more important than looking pretty in undies. At the same time, you can be comfortable and pretty. I find that Wal-Mart's basic bikini-cut undies are amazingly comfortable, soft, and pretty. My boyfriend loves them.
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"Everything counts in large amounts."