To all the DGs -- sorry to invade your forum, but it's so much more active than the Tri Delt one!
My advice would be to not wear it, if you're comfortable with that option. (If you really don't feel comfortable without it, of course you should wear it!) If you flip through the threads in the rush forum on what not to do during rush, you'll hear stories about girls who showed up on the first day wearing pink from head to toe because they were SO SURE they wanted to go Phi Mu, and all of the sororities cut her for that -- most cut her because they figured, why bother rushing somebody who doesn't want to be here? and Phi Mu cut her because they thought it was presumptuous of her to only consider their sorority when she hadn't even MET any of the girls yet. Now obviously this isn't the case with you, but there's a possibility that some of the girls will notice your necklace, see that it's an anchor, and assume you're sending out the message that DG is your favorite. It's just best to minimize your chances of getting cut if at all possible, and at places where rush is cutthroat, and some girls get cut for the smallest reasons, it's just better not to take the chance. There's nothing worse than hearing a story about a rushee who unwittingly decorated her rush nametag with kite stickers, just to have all the other sororities cut her 'cause they assumed she was going Theta.