Personally, I ALWAYS go regimental.
So far, I've only had the pleasure{or misfortune,depending on the checker} of being checked a half dozen times or so, and{so far} only when wearing my Clan Tartan.
Luckily for me, all checkers so far, have been curious young women with little or no experience of men in kilts...
I don't get embarassed, so this isn't a problem for me, but it has led to some very interesting conversations with ladies I would never have met, had I not been Kilted.
I shall continue to wear nothing but boots and socks under my kilt...and enjoy the freedom that comes with it.