Here is what Electric Scotland
http://www.electricscotland.com/history/social/sh14.html
has to say about the fiery cross tradition.
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"Each clan had a stated place of rendezvous, where they met at the call of their chief. When an emergency arose for an immediate meeting from the incursions of a hostile clan, the cross or tarie, or fiery-cross, was immediately despatched through the territories of the clan. This signal consisted of two pieces of wood placed in the form of a cross. One of the ends of the horizontal piece was either burnt or burning, and a piece of linen or white cloth stained with blood was suspended from the other end. Two men, each with a cross in his hand, were despatched by the chief in different directions, who kept running with great speed, shouting the war-cry of the tribe, and naming the place of rendezvous, if different from the usual place of meeting. The cross was delivered from hand to hand, and as each fresh bearer ran at full speed, the clan assembled with great celerity. General Stewart says, that one of the latest instances of the fiery-cross being used, was in 1745 by Lord Breadalbane, when it went round Loch Tay, a distance of thirty-two miles, in three hours, to raise his people and prevent their joining the rebels, but with less effect than in 1715 when it went the same round, and when 500 men assembled in a few hours, under the command of the Laird of Glenlyon, to join the Earl of Mar."
and from a KKK website:
Why we light the Cross
Mortal man wonders in awe, at the sight of a huge cross set upon a hill encircled by those who placed it there. Adorned in White robes and hoods they perform the age-old rituals, then in somber silence approach the cross, and set ablaze the symbol of Christianity. To most men this act of igniting a symbol of the Christian faith may seem barbaric or even mext to anti-Christian, but nothing could be farther from the truth.
The truth is; Klansmen hold the Cross in most high reverence. We of the American Knights of the Ku Klux Klan, Honor the Holy Cross, as a symbol of Christian Faith, and recognize the sacrifice of Holy Blood, which was shed that all men might receive forgivness of sin, and have life everlasting. We light the Cross in recognition that.....
JESUS CHRIST IS THE LIGHT OF THE WORLD
As light drives out darkness so knowledge and truth dispel ignorance and superstition. The lighting of the Cross was originally taken from the lighting of signal fires upon the mountaintops of Scotland as a warning of danger from an invading enemy. So we of the American Knights of the Ku Klux Klan light the cross as a warning signal to all men of the impending disaster that is facing our Nation if it continues on it's present course without God.
We also light the cross as a tribute to Jesus Christ in recognition of his sacrifice, and willingness to die for our sins. We endeavor to warn of the dangers of interracial mixing, and teach those who will listen and learn, the ways of the Klan. We feel it is our duty to prepare ourselves, and those of our race, for the hard road ahead, while the Government over this Nation turns like a rabid dog upon the vary people who support it.
We of the American Knights of the Ku Klux Klan want you to understand that there is a difference between Lighting a cross and Cross burning. The lighting of a cross is a religious ceremony, performed in reverence to the Lord Jesus Christ, in recognition of his sacrifice.
The burning of a cross is an illegal act of violence against a person or a person's home, while invading their privacy with the intent to harass, intimidate, or do bodily harm. This act of burning a cross is usually performed by irate citizens who do not understand the rules of the Klan, but wish to use the influence of the Klan to scare their victims, by burning a cross usually less than ten feet tall in the persons yard or against the home.
We of the American Knights of the Ku Klux Klan, wish to take this opportunity to invite you to join us and learn the meaning of true Klanishness, and help us build a better Nation for our children to grow up in and call home.