Just to clear things up as far as what these actually are:

Alternate Picking is done by using the pick in a down-up-down, up-down-up manner, basically all the time.

Economy Picking is a little trickier. Generally when you play on just one string, you use alternate picking, but when you go to the next high adjacent string, you always start with a down pick. You never deviate from this pattern until you go backwards from high to low string. Going backwards, you use alternate picking. This method minimizes energy in hand movement by using one pick stroke to cross from one string to the next highest string.

So generally, you use economy picking if you want speed with as little hand movement as possible. You use alternate picking if speed isn't as much a factor and you want to play with more style and soul.

Best thing to do is learn alternate and economy picking and use both depending on the situation.
Also, when you do scales, learn to pick them backwards as well as forwards.
ie, Usually when you start a scale on the bottom E string, you'd start with a down stroke.... down-up-down, up-down-up...etc..
Instead of always doing that, try playing the scale by picking it in reverse...
ie, up-down-up, down-up-down..etc..

If you learn to both ways equally as well, you'll find you won't get lost in the middle of leads so much cause you won't be constantly fumbling to start all scales with a downstroke.