This isisue has been discussed many times and I started my own thread just recently. The sgian dhu is an integral part of Highland Dress (certainly as much as the sporran and maybe even the kilt itself). It's historical significance is that one of the restrictions of the repressive disarming act of 1746, following the failed Jacobite rebellion, was that highlanders were stripped of their weapons - exept for one small utility knife (to allow them to survive 'in the heather', that is when they were living rough outdoors). However, as the sgian dhu worn by todays traditional kilt wearers is purly decorative, and not intended for use, there are two things you could do if you don't want to seem offensive. One is to buy a dummy sgain dhu, which is basically just the ornate handle without the steel blade (which is hidden inside your sock anyway). The other would be to glue the blade into it's sheath, rendering it useless as a knife.