I agree with valkyrie... For the first day of Rush in the South, "casual" attire is usually a khaki skirt or capri pants... I would say no to anything denim unless it's a very nice denim dress or skirt.
Like AggieDZ said, if you're going to wear shorts, then khaki will be a much better choice than denim. Black will also work. But I really would suggest doing something other than shorts if you can.
The goal is to be dressed as well as the sorority women -- and they usually wear casual skirts, sundresses, or capris during the first day of Rush. (The only time they would usually wear shorts is if it happens to be part of their party theme.)
Good luck!!!!