Les,
You don't mention what instrument you have, so here are my 'standing orders' for higher end Yamaha keyboards.
In Left Voice , use Bagpipes, set Octave to +1. In Mixing Console, add some more reverb than default and then add some chorus, around 40 -50 should do.
Set the L+Style split point to Bb2
Play the two A notes in the left section, an octave apart. You can use Left Hold to create the drone without having to hold the notes down!
In R1, use Bagpipes, adding some chorus and reverb again. You'll probably have some more pipe sounds. If so, then whack these into R2 and R3. More chorus again and reverb, and while you're in Mixing Console, pan R2 to 9 o'clock, R3 to 3 o'clock, leaving R1 and Left in the centre. Set the Tune value for R2 and R3 to +3 and -3 respectively. Use the Balance controls sensitively until you get the right balance between drone and melody.
Save this to a Registration Memory!
Play all your bagpipe tunes in D major, against the droning left hand As. You'll have to play it with the lowest possible note being the A above Middle C, regardless of what octave the music says. If you're a stickler for accuracy, set the Pitch Bend value for the Left voice to 3 or 4. Just before you play the As with your left hand, use your right hand to pull down the pitch bend wheel. As you play the As, gently release the wheel so the pitch rises like a real set of pipes does when you 'turn on the ignition'!
The quick notes you mention are called 'grace notes'. They'll be the A below the melody line. If you play Amazing Grace in D major, your melody will start A D D. You insert a very quick grace note A in between the two Ds. You can be indulgent when adding the grace notes!
These techniques can work well on organ too. Here's my Roland AT900P doing bagpipes at the start of Auld Lang Syne.
Click this LINK to play it. Or you can download it to your computer by right-clicking on the LINK and choosing
Save Link As...Click the back-arrow after listening to get back to this page.Auld Lang Syne excerpt (MP3) played on Roland AT900P