You've got some great advice and some nice clarity on general theory. However, I'm going to throw a monkey wrench in the works here. When using a blues scale, most of these theories are thrown out the window. And a lot of genres of music steal bits from the blues or are built upon them entirely.Noob here. Forums are great! Learning a lot. Question about note selection. Let's say the song is in the key of A. So I form a mental image of the A major scale. Now I see the chord progression includes A, D, E, F#, which are the I, IV, V, VI chords. OK - being a noob, I decide that all I will likely play will be Roots, Fifths and maybe a Third occasionally. Well, maybe a walkup/down, but let's not worry about those notes right now.
Now, I see that the Roots and fifths for all the chords in the song happen to hit on an A major scale tone. (too cool!). But, all the thirds hit on a scale note except for the F# chord third. It would have to be a minor third to hit a scale tone. Then some corpuscle comes around and there's something I saw about 6th and minors. Maybe if I looked closer the F# chord was really F#m? Can I play that note (B) or do I flat it (Bb)?
Any words of wisdom?
It's pretty common in blues to use dominant 7th chords for both the IV and V and drop some of the notes 1/2-step down on the way down (making it a minor scale run instead of a major scale run) and back up to their normal position when running the scale up. It can get way too confusing to try to give good generalities here. The reason folks are telling you to listen to the song is because different songs in the same key will use different notes than you expect them to.
@SteveCS gave you a nice outline of how it "normally" works, but there are always exceptions to those rules. I'd suggest you learn those rules because they are the basics of music regardless of genre and you need to have a foundation to build upon. But listen to some songs that break those rules so you can get a feel for when and how they are broken and what it does to the overall feeling of the song. Often the way they break those rules defines the genre of the song. Many of the blues runs I use play the minor 7th (dominant 7th) on the way down but the major 7th on the way up. To further confuse you, I often work in chord tones for the chord I'm headed to when going in either direction. Just depends on what sounds good. Get that foundation in place first and then pay attention to what the bass player is doing in the songs you like to hear and want to play.