I asked this question a couple of weeks ago and got nothing.
http://boards.straightdope.com/sdmb/showthread.php?threadid=172543
Apparently, the situation has changed.
Maybe not particularly relevant, but I have a vague reccollection that in the film 3 Kings (I only saw half), the forces were given a list of acceptable terms to use, for example Camel Jockey was considered all right, but Sandnigger most certainly was not. Obviously that is only a film, but hey…
Barney: I wonder if those Soldiers are aware of the actual meaning of that word.
It just goes to show you that George Carlin was right - there are no bad words, just bad thoughts and deeds. “Pilgrim” is not derogatory, but I have a feeling that the thought behind this usage probably is.