Your kilt pin is used to weigh down the outermost layer of your kilt - the apron - to prevent it from catching in the wind, for example.
The fabric should still be able to move freely with your movements, however, so it is important that you fasten your kilt pin to the apron only.
The pin should be attached to the lower right side of the apron approximately 4 inches from the bottom of the kilt and 2 inches in from the fringed edge.