Why is there a parade of people through town?

From the text:

“Never heard of any Catholics in Maycomb either,” said Atticus, “you’re confusing that with something else. Way back about nineteen-twenty there was a Klan, but it was a political organization more than anything. Besides, they couldn’t find anybody to scare. They paraded by Mr. Sam Levy’s house one night, but Sam just stood on his porch and told ‘em things had come to a pretty pass, he’d sold ’em the very sheets on their backs. Sam made ‘em so ashamed of themselves they went away.”