This march is obviously intended to be “political” but not the type of political that would cause a 501(c)(3) charity to lose its exemption.  Charities are prohibited from participating in election campaigns, but for anyone who might not have noticed, the Presidential election campaign is over.  There are currently no candidates running for President and no one for a charity to support or oppose for election. 

To the extent that the march is taking positions on potential legislative activities, participation could be considered lobbying.  For a public charity, it would not jeopardize your exemption if it does not constitute a substantial part of the organization’s activities.  For a private foundation, which is effectively prohibited from almost all lobbying activities, it could be another matter and could be considered a taxable expenditure.  

If your organization is a private foundation, I would definitely not recommend attending as representatives of the organization.  If it is a public charity, I would also recommend that you attend only as individuals.  I suggest you concentrate your permitted lobbying activity on those specific measures that are important to you.  (See Ready Reference Pages:  “Lobbying Rules Create Opportunity for Charities” and “Should Your Organization Elect Under 501(h)?”)