The biggest problem with wool is the price. I know a lot of people think it is THE material for kilts, but for the amount of money I'd have to spend, personally, I'd prefer to get something from Utilikilts or Freedom Kilts.

I believe I've heard people say that canvas isn't so warm, so I was considering that as an option. Forgot to mention that earlier.

If I can't find a material to completely solve the problem, the other possibility is to look at the construction. A significant hem for example, might make it more bottom heavy and therefore resistant to lifting, right? The magnet idea is interesting (though I can just see that causing other kinds of trouble) and I've heard mixed reviews of UK's modesty snaps, but the basic idea of having an attachment to keep the kilt from flying open seems fairly sound.