Wouldn't it be a bit tricky to keep the pleats in place while you roll it?

A variation for those of us that are too lazy to take the time to be careful might be to get a peice of fabric that's long enough to lay it out on, and wide enough to fold over it, and just roll up the package and store the way P1M said. The pleats would stay in place by virtue of being sandwiched between the other two layers. It'd be a lot cheaper than the kilt carriers you see advertised.