I stole the rubber band idea from someone else, guessing its been around a long time. Some folks also run the back side pin through a small pencil eraser.

Kilt pins DO come unpinned. Even had one come undone while I was seated in a car - the back pin was sticking up vertical and fortunately I noticed it just before I was going to rest my hand on my leg which would have skewered my hand.

But, a piece of rubber band, or small pencil erasor run through the pin will keep you from losing your kilt pin when it does come unclasped.

And beware kilt pin addiction. Ham advised one kilt pin per kilt to save wear and tear from repeated poking.