In the UK we have some fairly draconian weapon laws.
Basically all you are allowed to carry (without having a good reason to do so) is a folding knife with a cutting edge of less than 3" with a non-locking blade (a lock knife is a fixed blade in the eyes of the law due to a ruling by a Judge).
However, there is an exemption clause in the legislation that specifically allows a sgian dubh to be worn with a kilt.
I always wear one of my sgian dubhs with my kilt. the only exception is when I'm going out at night to pubs/clubs etc. while legally I can wear it, it's just not worth the hassle.