Another solution. Anyone been to Disney World? Ever seen the countless booths, kiosks, shops, etc, etc. for Disney Hat Pins? Normally they come with rubber back that come off over time, so in the infinite Disney wisdom, they came up with Locking pin backs

Small barrel fits over the kilt pin back, then using the small allen wrench tighten it up. You can go forever without losing your kilt pin. Just Google Search "Disney Locking Pin Backs"
This works especially if you have a certain pin you like. why take it off your kilt. You can just leave it there ready for the next time you wear it. Works for me.