I never wear a sgian duhb with my kilts, formal or informal. I don't own one and never have.

When I saw this thread I remembered that the first book I read about kilt wearing ("So you're Going to Wear the Kilt" by J Charles Thompson) says you are perfectly properly dressed without one. That chimed with my feeling that I never had any wish, or need, to carry a knife so there was no need to invest in a sgian duhb.

For all the reasons given by Steve and MacMillan of Rathdown above, I do not regret my decision.