I wore a kilt when I played bagpipes in a Pipe and Drum Corp in college. All I can say is that I didn't know where the wind came when we marched but I sure as hell knew where it went... All the men in the pipe band and the marching band in kilts wore warm things under their kilts.
Worse yet, the seats the band and the corps had to sit on were metal and in cold weather those seats were cold.
(the rest of the seats were rough wood and had splinters)
Even on a cool September night, walking across a field to play bagpipes for Freshmen was dewy, insect-ridden, and not fun. Although, most of that was that the bagpipes didn't stay in tune in fog, mist, or just plain weather.