In order to ensure your pleats stay just right, it is adviseable to baste them even when not re-setting them. that way you can move the kilt around if need be without worry about accidentally pressing a splay into the pleats.

Also, use a damp pressing cloth over the kilt - don't apply the iron directly to the wool or it might impart a shine to the wool.

here is a link to a good set of care instructions.