You must wear something under it if you can see through it. It can be a slip or a lining. Lining does not necessarily have to be silky synthetic. It can be cotton. I would get something with polyester in it if you are lining it. 100% cotton is liable to shrink and get wrinkly which would not be good for a lining.

If you go for a lining cut it the same as your skirt and hem it slightly shorter than the skirt. Sew the lining to the skirt at the waistband and if it's a full skirt gather both together as one piece. Hem both lining and skirt separately

what dowlinggram says.
You could also self-line as you asked in your post. Sometimes I use a cotton mesh, jersey or lightweight stretchy fabric to line but it can often stretch/bag & hang lower than your fashion fabric hem. If that happens, you're forced to shorten that lining, can be a chore...
I found a pic of a sheer skirt w/a lining, they used synthetic to line.

Here's a sewing blog where the author treats it as a skirt w/a sheer overlay, she used t-shirt knit--actually a turtleneck, she's creative & frugal, such a nice combo:)
http://shannonsews.blogspot.com/2011/06/sheer-skirt-overlays-tale-of-3-skirts.html
I'm adding her link to show the fabric, not nec. the technique, your skirt may be constructed differently.

Hope your project comes out for you!

Here is a link that might be useful: neiman marcus sheer skirt

Thank you both for the advice!

Hope your project comes out for you.