Thirteen people were arrested at a rally by about 1000 members of the far-right EDL in central London last Saturday.
The young soldier's relatives yesterday urged the marchers to show their respect in a "peaceful manner", amid increased tensions between political and religious groups.
In a statement released through the Ministry of Defence, family members said: "We would like to emphasise that Lee would not want people to use his name as an excuse to carry out attacks against others. We would not wish any other families to go through this harrowing experience and appeal to everyone to keep calm and show their respect in a peaceful manner."
A message circulated from Army HQ warned former soldiers that "Far-right, extremist organisations (English Defence League in particular) will seize any opportunity to align veterans with their cause".
It added: "Veterans should be strongly discouraged from wearing regimental headdress or accoutrements if they are attending events organised or affiliated with extremist organisations."
Serving soldiers were barred from taking an "active part in the affairs of any political organisation, party or movement and they are not to participate in political marches or demonstrations".
Retired Brigadier Ian Liles, Regimental Secretary of the Fusiliers Association, linked to Rigby's regiment, wrote to members: "I want to make absolutely clear the regiment's view on this. [It] is not to be associated with any organisations which seek to exploit the death of one of our regimental family for a range of self-serving and unhelpful reasons.
"It is wrong and disgraceful that the death of one of our own should be exploited in this manner and that dishonour, by wrongful association, is brought on to the regiment. We are to remain dignified with our heads held high and respect Fusilier Rigby in the way we have all our dead; with honour and pride."
One of Rigby's suspected killers, Michael Adebolajo, was on Friday discharged from hospital where he had been recovering after being shot by police. The 28-year-old has been arrested on suspicion of the killing, and on suspicion of the attempted murder of a police officer.
Michael Adebowale, 22, has already been charged with murdering the young soldier and is to appear at the Old Bailey tomorrow.
Separately, officers said they had arrested two men, aged 42 and 46, in east and north London on suspicion of being involved in the supply of illegal firearms.
The inquest into Rigby's death was opened and adjourned during a brief hearing at Southwark Coroner's Court. The court heard that he was killed as he returned to his barracks after a day working at the Tower of London.
A friend of Adebolajo who was arrested after being interviewed on the BBC programme Newsnight also appeared in court charged with three terror offences unrelated to the Woolwich murder.
Abu Nusaybah gave an interview last week claiming that Adebolajo, had been offered a job by MI5.
- The Independent