Here's what works for me:
Fold the kilt as though you were wearing it (aprons in front, pleats in back, left apron on top).
Lay the kilt pleats up.
Start rolling in the direction of the pleats (so the open edge of the top apron, where your kilt pin is located, is on the outside of the roll).
Slip the roll into the tights waist first. (More material there, less chance of the roll collapsing).