When parading (in the USA) all flags should be dipped when they pass the reviewing stand. The only exceptions would be:

1) The flag of the United States of America. This flag is never dipped.
2) Other national flags (this is a matter of courtesy).

So, in answer to your question:

All clan flags (including those of individuals entitled to personal flags or banners) are to be dipped when passing the reviewing stand.

Here comes the contentious part:

The Union "jack", the Scottish Saltire, and the "Red Lion of Scotland" should not be paraded at Highland games.

1) The Union "jack" and the Saltire, if displayed, should properly be placed on the reviewing stand along with the flag of the United States of America.

2) The "Red Lion of Scotland" is the personal flag of the Sovereign and may only be flown in her presence or in the presence of one officially appointed to represent her (ie: The Lord Lyon). It should never be paraded, or displayed.

Now for the really contentious part:

I have noticed some SAMS color guards parading the pre-union British flag at Highland games. This is not only wrong, it is as insulting to the British as it would be insulting to Americans to parade something other than the official flag of the United States at a sporting event in the UK.

If you are part of an official color guard, then you should parade the flag of the United States of America, your State or Commonwealth Flag, any "unit" flag you may possess, as well as the flag of any nation you may wish to honour at the moment.

Displaying a foreign flag in conjunction with the flag of the United States of America makes a political statement. Just as it would be politically inappropriate to display the flag of Quebec instead of the Canadian flag, it is also inappropriate to display the flag of Scotland instead of the flag of Great Britain.