As far as the legal issues of wearing a knife it really varies by location. State knife laws are easily obtainable on the i-net, however you should also be aware that local jurisdictions may also have specific ordinances regarding knives. I would stay out of airports, public buildings, and court rooms if wearing an sgian
The deciding factor is usually up to you. If you get "horsey" when approached about wearing a knife I would be willing to bet that an encounter with an LEO is in your future.