On St David's Day 1806 the Royal Glamorgan Militia were stationed in Horsham, Sussex. They had been called out in April 1803 due to the restarting of war with Napoleonic France. They were then stationed in various places in South East England to help guard against invasion. The Cambrian on March 8th, 1806 recorded them celebrating in style.
The article also goes onto describe celebrations of St David's Day in Liverpool and in London.