I don't think there is a great deal of difference between fine cotton, wool or silk socks. Of course you can get heaver socks, right to those extremely heavy hand-knitted hunting hoses.
I wear dress shoes with fine socks and have some heavier shoes to go with heavier socks. Nothing as heavy as the hunting hosiery King George V. liked to wear with his (oversized) "˜Wildsmith loafers' (EG's style "˜Harrow') to potter about the house.
Yellow Timberlands do not go well with fine cotton lisle socks, nor are A-E's "˜Park Avenue' a good match for those heavy woollen walking socks. When you try on a pair of shoes, use the socks you are likely to wear them with.