OK, I've found that documentary Scotland and the Klan by Scottish historian Neil Oliver on YouTube.
It's nearly an hour so if you don't have time, maybe watch this bit at 48:30.
"Hill has also talked to his people, not merely about how the South is an Anglo-Celtic wonderland and all this kind of things and we need to protect our culture, but about the need to buy AK-47s and tools to derail trains."
That was Mark Potok of the Southern Poverty Law Centre, talking about Michael Hill of the League of the South. You can see Oliver's interview with Michael Hill immediately before that, from 43:50.