From what I've read in the states I travel thru the most, if the cop is asking for ID then is a good time to give him the CCW, otherwise you have no obligation to 'advertise' you are carrying.
I wouldn't say a thing unless the cop is talking directly to me, why bother?
I also always thought that you are not required to have any form of identification on you (unless you are driving of course, and have your CCW card when carrying) isn't that a little big brother-ish? "Where's your papers?!" I've been stopped by cops while riding a bike or walking when I lived in Oregon, and I didn't have my wallet/ID on me then and they sorta gave me crap but couldn't arrest me for it, at least they didn't anyway.
I also am not a lawyer :to_pick_ones_nose: