1. Most importantly, make sure you are following all the laws.
2. Follow all the Officer's directions. Even if the Officer feels he needs to arrest you; If you were following all the laws (see rule 1) then a wrongful arrest is much better than whatever would happen to you if you resisted arrest.
3. Be respectful. Tell the Officer that you are following the law and within your rights to be carrying. If the Officer wants to see ID, show him a valid ID.
This above is what I would do, as it is the best way to avoid a confrontation with the Officer.