I'm in the always camp. Once I put a pin on a kilt, I rarely if ever take it off. And I advise my clients the same. There is really no need to remove it, and if you take it off and put it on each time you wear the kilt, it only adds to the wear and tear.

I will occasionally swap out a kilt pin for a different one, for special occasions. For example, I have a lovely nineteenth century kilt pin that looks like a miniature dress dirk. It's an antique, and fragile, so I don't wear it except for special occasions.