What other approaches can I try to deal with that situation?
I see five general options:
Make the children's room colder, to encourage them to want socks on. This doesn't strike me as a great approach, since they may simply bundle up in more blankets, rather than put on socks.
Make the children's room warmer, so that you feel more comfortable with them not wearing socks.
Decide that trying to enforce a sock rule is not worth the effort, and simply drop the restriction.
Come up with more comfortable footware aside from footie pajamas. Perhaps a loosely-knit crocheted set of socks might be more comfortable for them, resulting in them being left on. You may even be able to find some that secure with a draw-string, making it more difficult for them to be unconsciously removed. A more breathable mesh might provide some relief from the cold, without causing the feet to become too hot, if, in fact, that's what is prompting them to keep them on.