As RiverKilt and others on this forum have said: "Run the pin through a bit of wide rubber band on the backside of the apron. The few times they come unpinned they at least are not going to slip away and be lost. Simple and effective."

If the pin is a blanket type pin, make sure you have the fastening end pointed downward, so that if it comes unfastened, it's less likely to fall off your kilt.

At least that's what the people on the forum more knowledgeable than myself advise!