In all my years of kilt wearing in the UK, the only times I have been asked about my sgian dubh is when I am not wearing it, as in "where is your sgian dubh?" or when I have used it: "is it sharp?" I don't wear it to go out to the pub because I don't trust inebriated folks, nor would I wear it to a sporting event, nor when out on a long walk (it can be a bit annoying having to stop to hoist your sock up). I would wear it to a formal or semi formal event, such as a Highland Gathering, any private party when suitably dressed, church (once a year at Xmas), restaurant meals or any other occasion when it would not be inappropriate. It has proved to be quite useful on many occasions.

Just don't do anything stupid with it, don't draw attention to it and as it is part of the accepted highland dress in the UK that is the way it will be regarded. People are far more inclined to ask about your clan if you are wearing tartan than anything else.

I'll second all Jordan's comments too.