There is sort of a "myth" that kilted men never wear underwear. A lot of people ask the question wondering if its true or just because its fun.

I sometimes give witty replies, but after wearing a kilt regularly for a while, I've also gotten used to it and sometimes just tell the truth.

What you wear is up to you. I usually wear underwear because:

I don't have to wash my kilts as often when the dirtiest, smelliest bits are covered
I never know when there will be a sudden risk of exposure (happens to me more than others)
Because when I'm regimental, I get a little too frisky for my own good.
Loose boxer-briefs are not that bad.