Sandy's thermals in "As Time Goes By - 07x05 Too Old... Or Too Nosy?"

I'm watching through As Time Goes By for the umpteenth time and this joke has always bugged me cos I don't understand it.

It's the episode where Sandy goes and buys thermals to watch her cop boyfriend play rugby cos she's sick or freezing her butt off on the sidelines. What is the implication here about females and thermal underwear?

Judith: How did the thermals go? Sandy: Oh, very well! They are warm. And they're quite comfortable. Judith: Yes, I suppose they are. Sandy: Mind you... Judith: Oh, yes... Jean: Yes, what they mean... Lionel: I know what they mean. You don't live in a house full of women without picking up a few pointers.