Long time back, during my initial phase of learning guitar (will be learner forever), I was unable to figure out scale. Also, most of the time in a song, for example, in R&B, "I believe I can fly", by mistake I used to get excited, "Wow! That's a great scale changing !". I was absolutely wrong! It's not about changing scale, it's about changing KEY. There are lot of songs composed with changing KEY on a scale. Why, it's like that ? I am pretty sure, one of the great reasons of changing KEY is harmony consideration. We say, C major scale, pentatonic A minor or blues enthusiasts say, "Blue C minor". Every time we say a SCALE and a KEY. Here, KEY C in Blue minor scale. Those are familiar with Indian classical, must be familiar with "malkosh", "vhairabi", "iman" etc. These are all different scales. Quick question may come into your mind, can we change scale in a single song ? Answer is no as well as yes. Be careful about changing scale while you're composing a song or a piece of music. Often, scale has direct relationship with song genre. Scales of JAZZ, BLUES are pretty much defined. Still, you've option to use different scales in a single piece of music. You have to be creative enough to do that and in this case your experiment should be with honest MIXING of scales, NOT CHANGING scales. Listen carefully, Steve Ray Vaughan's ballad in electric guitar, "Lenny". How he used both Pentatonic minor and Blue minor in a single piece !