The mistake is treating mesh like it's just a sheer fabric and nothing else, when actually it behaves more like structure with gaps in it. Buy the wrong weight and you either get something that clings to tights in a way that looks accidental, or something so stiff it stands away from your body like a lampshade. Neither looks deliberate, and deliberate is the whole point of a mesh skirt.
If you've never owned one, start with a midi length over a simple slip or short underneath, in a plain weave rather than anything with an obvious pattern burnt into it. That gives you one solid layer doing the decent work and one sheer layer doing the interesting work, which is a much easier look to wear to actual places than full on see through from waist to hem. Black is the easiest colour by a distance, it reads as texture rather than nudity from more than a few feet away. After that, go for deep navy or bottle green before you touch anything pale, because pale mesh shows every seam of the slip underneath and every static cling moment, and nobody needs their skirt broadcasting what their underwear is doing.
The difference between a good one and a bad one is almost entirely in the finish, because the fabric itself can't hide anything. Cheap mesh has a slightly plasticky shine and raw or glued edges that start to fray within a few wears, particularly round the zip. A better one has a proper bound hem, a concealed zip that doesn't pucker the mesh on either side of it, and a lining that's cut to its own shape rather than just a rectangle shoved underneath. Run your hand over the mesh itself too. It should have a bit of give and a slightly dry, structured feel rather than going limp the moment it's warm, because limp mesh is what loses its shape by the second wear and starts sitting oddly over the hips.
Fit is where people come unstuck, because the lining and the mesh need separate consideration. Size the lining to your actual body, snug but not digging in at the waist, and let the mesh layer sit slightly looser over the top, it's meant to float a little. Watch the waistband, elastic alone tends to roll on a mesh skirt because there's less fabric weight to anchor it, so a proper waistband with some structure behaves far better through a full day. Walk in it before you buy, not just stand, because a straight mesh skirt can ride up at the back when you sit, and a flared one can show more through the slip's side seams than you'd expect under certain light.
It's a skirt for evenings and warmer, drier months when you're not fighting tights and a coat over the top, and it will never be the thing you reach for on a practical, rushed sort of day. That's fine. It isn't trying to be that.