My two cents:
Everywhere my father goes, he has in his pocket change and a knife. Going to work - change and a multiblade knife. Going out with friends - change and a better looking knife. Going to the gas station to fill up the car and get fuel for the mower or snowblower - change and a knife. Going to church - change. No knife. Everywhere else he has that tool with him (and make no mistake - for him this is a tool, no more or less), but he has never taken that tool into a church.
I follow his example. The sgian is a tool, one that has taken on historical and cultural significance, but a tool nonetheless. And it's a tool I will in all probability never have use for in a church.