I've tried:
-chalk wheel
-soap stone pencil
-dressmakers chalk pencil
-sharpened chalk

None were satisfactory. Some left a too wide of a line, some took a lot of pressure to leave a mark and the chalk wheel was too messy. I also should mention that the kilts I've made are from dress tartans which will have sections of white. My first kilt was a black Dress Erskine, the only colours in the tartan are white and black so chalk really wasn't the answer for me.

I finally went with little brass safety pins. I was able to get the pins practically on the thread i needed. I was then able to travel with my kilt and sew away while on business trips and not worry about chalk marks being rubbed out.
http://www.safetypins.com/traditional_pins.htm