I was taught all I know about kilts by my Maternal Grandfather who fought kilted with the Argyll's in WW1. As far as I could garner from him, they did in the main wear underwear in the cold weather, and did not in the main in the hot weather due to lice - it was easier to go without.
There is one thing he did always stress, that it was not good manners to discuss whether you did or not with ANYONE else. I find it mildly discomforting that men feel the need to discuss this entirely private matter at all.....