Personally, I tend to observe military-like customs and courtesies when formally kilted.
No head gear inside, always on outside. However, I treat Prince Charlie's like a Dining Out... no headgear after retreat (6 PM local).
I have seen Glengarry’s with PCs in a formal pipe band, but generally I would say NO.


Some-what simular to this:
http://www.youtube.com/watch?v=WOOjHvu_Nbc