I think Ozmeath has set the basic caution - one just has to find out what the local legal thingy is, really.

Of course, in case of vacant or blank looks, one could try refering them to the protocol at the Palace of Westminster (i.e. Houses of Parliament in the UK), St James's Palace, Buckingham Palace, and Holyroodhouse Palace (all royal palaces), where a sgian dhubh is considered a ceremonial item of dress and not a weapon (unlike the bagpipes, for example, which are still considered a "weapon of war").