I would also point out some unfortunate realities.
Most likely, this type of event will not get much, if any, press coverage. If it did get any coverage, it would be to minimize the event. In addition they would seek out individuals who could give it the most negative image.
If it was a large event, and nothing bad happens, then it looks kind of lame. The powers that be already know who we are, and what our numbers are. I doubt a simple march would do much to impress these people, unless the number of participants numbered in the millions.
If things got out of hand, and turned ugly somehow, that would get coverage, a hostile press would then turn on gun owners, and the 2nd amendment in the worst way.