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One is to know ahead of time which scale sounds like what, and to throw them in appropriately. This means really knowing your modes and unusual scales.
Another approach would be to wing it by ear, starting with more usual modes and scales and knowing which notes to raise or lower (by a semitone, for example) to create the aforementioned unusual scales.
I wonder what guys like Robert Fripp use - I'd figure it's a bit of both. He probably knows/has created a bunch of different scales, but he can also play over a natural minor but throw in a bunch of notes that aren't in the scale... In that case though, it goes into chordal theory (which is very much related to scales).
What's important is to know that you won't be running through scales during a song (except during certain riffs, of course) - you have to pick and choose which notes in that scale to play to create your riffs. In that case, it's good to know chords and understanding intervals and all that. It's useful to have a second instrument nearby (ie piano) to help you work those out.
btw when you hear blues you might be thinking of some guy in alabama on his porch playing a fiddle or harmonica. Blues form is the most popular form and is even used in heavy metal. I bet prog rockers use blues, so give it a shot, im playing to C blues as we speak.