It really does depend on the situation. If I'm to be dancing in any way that brings the bottoms of my feet at or near the level of my knees, for modesty's sake, I'll wear boxers. Usually that means colored silk (if I can find them) that are a relatively close match colorwise to the main colors in the kilt. On windy days with a casual kilt (lighter weight, and less fabric in the pleats), definitely some undergarment is recommended. If you have a woolen kilt and are not used to the procedures or sensations, then you may wish to pin a soft cotton cloth or chamois to the inner face of the inner apron, so that a particularly sensitive part of the anatomy does not receive a friction burn from the kilt. In addition, if you're planning on slogging around a Hielan' games on a warm/hot day when the chance of perspiration is relatively high, you may wish to wear an undergarment so that you don't develop a close, personal friendship with a condition I refer to as "Private Chafee."

Otherwise, going natural provides one with a more intimate sense of air currents and other natural phenomena, for starters.