There's one thing cool with the guitar is transposing licks and riffs. Its so simple.
Lets say your playing inside the world most famous minor pentatonic scale box.
Lets say your playing in Gminor. It looks something like this right?
e|------|------|---o---|------|------|---o---|
b|------|------|---o---|------|------|---o---|
g|------|------|---o---|------|---o--|-------|
D|------|------|---o---|------|---o--|-------|
A|------|------|---o---|------|---o--|-------|
E|------|------|---o---|------|------|---o---|
So if you have a lick in a song in G minor thats played around in this box and you want to play it, lets say in the key of Bb minor, well you play your lick in the same type of scale box but with the first note on the low E string starting on the Bb (wich would be the 6th fret of the low E). Its the same thing with any types of scales/modes.
If you know all your scales shapes, its just a matter of finding out what scales shapes are used in your song then using the same shape in another key and play your melody the same way but in your new spot.
As for what scale to use, a good place to start is to use the scale that matches your key. So if in C major, you could use the C major scale or the C major pentatonic scale to improvise/jam.
When your comfortable with this, try hitting notes that are in the chord that you are playing over. So in a standard 12 bar blues in C, when you go to the 2nd chord (the 4th, wich would be F in this case) try hitting a note from the F major chord (F, A or C) when the chord switches and try to stick around those notes a bit more then the other ones in your scale.
Also, you can just play around the notes in the chord without even thinking of a scale shape (this is often referred as chord tone soloing). Theres a couple of videos here on GT about chord tone soloing that Douglas Showalter did. Neal did a nice channel episode on that recently too.
Here are the links.
http://www.guitartricks.com/tutorial.php?input=958
http://www.guitartricks.com/lesson.php?input=21757
You can also switch scales everytime you change chords. And then you can go further and further and the sky is the limit :P As long as it sounds good, its good.
