From the Washington Post, 2 February 1911

Madsen has made frequent trips to Washington since that first trip to see his 'colonel' [Roosevelt] and on one of these occasions he was accompanied by Deputy Marshal Bill Tilghman and together they attended the annual dinner of the Army and Navy Club. With them were 'Bat' Masterson and 'Bert' Daniels, the Rough Rider whom Roosevelt made United States Marshal of Arizona.
Neither Madsen nor Tilghman had ever before worn a dress suit, and so far as stovepipe hats were concerned they had always scorned the use of them excepting as a good mark for bullets. When Masterson and Daniels insisted on the two Oklahomans wearing the high hats it is said that Madsen and Tilghman blushed remembering guiltly the 'stovepipes' they had shot at.
They were finally buttoned into the dress suits however and with the stovepipes on their heads they attended the dinner. Later, in the telling of his experiences Madsen said in regard to getting inside of the dress suit "the most trouble I had with with the shirt as the sides of the front flared up beneath my vest like a tent wall in a cow camp on a windy night."
Arriving at the Army and Navy Club the four Westerners found themselves in the midst of several hundred other guests a majority of them in line and each one anxious to enter. The crowded line was too much for the deputy marshals so they told Madsen to speak Danish and they would work a scheme that would permit them to move ahead of the other guests. He did so and one of the others would say to the guests in front "Please give way to the Ambassador from Denmark."
The plan worked and the boys afterward admitted that there was much craning of necks and twisting of heads to get a better look at the "ambassador."

Now that's funny!!! This has got to go in my Madsen file.

I think there is a photo of Tilghman in later life that would match about right with this event in which he is dressed to the nines.

Could have been taken at that event.