It could work out OK if we're talking about veterans (who've passed a PICS check). But it will take rock solid discipline to avoid an incident, and even that may not be enough if a cop decides to mingle with the protesters and fire a starter's pistol.
When Adam Kokesh attempted to do an armed march in DC, that was his intention. It was only going to be vets, with DD214 etc. to prove it.
Note: This does not mean Adam only thinks vets should have guns. This was just a sensible precaution. As it turned out, most of the vets I know were even MORE sensible, and pointed out the complete and utter lack of cover on the bridge he intended them to march accross, and said, "nope."
His "march" ended up being a one minute video of him racking a shot gun, for which he spend time in prison.