I must agree with the 'only for backup' advice, and I'll add 'only with a small lightweight gun' too. Use a small revolver, KelTek, Kahr, PPK, Bersa,or Glock. Even the Glock gets pretty thick, and any gun on a part of your body that moves that much and that often can cause you problems.

Massad Ayoob (a name you should know for CC issues) recommends using only the absolute best qualityholsters for ankle carry since any others will cause you to be irritated badly enough to leave the gun home or find a new way to carry it. If I remember right, he likes Alessi. Lots of padding and a good shape to keep it from shifting and rubbing.
http://www.rfholsters.com/rfholsters/product.asp?dept%5Fid=10&pf%5Fid=AH%2DAR