The usual headwear was a balmoral - like this



and would be daywear. Pipe bands often wear a glengarry and it is a more "military" cap but there is no reason not to wear it. No headwear is worn at evening formal events nowadays although there is no reason not to wear it outdoors when coming and going. The only proviso is not to have a chequered band around either - it is supposed to be for the military and to show allegiance to the Crown (unless that is your thing of course).