I don't know how widespread the saying is, but I have heard the phrase here up north, "Red shoes, no knickers". This is an assumption of the type of woman who would go out in red shoes. Is this a more modern take on the red petticoat theme?
I have also heard of wearing red to conceal blood in battle situations.
We used to chant "Blue and green should never be seen, except on a fool". Whether this refers to any risk associated with faerie, or the colours worn by fools, I have no idea. My mum just used to say it "wasn't done".