Start with the root note. If the band leader says, “The key of A,” the first note in the blues scale is A.
Find the “blue note.” In musician's parlance, this is the “minor third.” It is one and a half steps above the root. For instance, if the root is A, the minor third is C. Play the root, then the minor third, then the root again. You'll hear the “bluesy” relationship between the two notes that gives it its name.
Go up one whole step from the blue note. This is the “fourth.” In the key of A, this would be a D. Most blues progressions employ chord changes on the root, the fourth and the fifth, so this note is particularly good to use when you hear the first chord change in the song.
Go up one half step. This “flatted fifth” is the one note that is not a part of a minor pentatonic scale. It serves as a “passing tone” between the “fourth” and the “fifth.” In the key of A, this note would be E-flat.
Go up one more half step. This is the “fifth.” In the key of A, this would be E.
Go down one whole step from the root (or one and a half steps up from the fifth). This is the “flatted seventh,” the last note in the scale. In the key of A, this would be G.
Use this technique to figure out the blues scale for any key. The A blues scale you constructed consists of the following notes: A, C, D, Eb, E, G. If you consider the root to be Roman numeral I, and the octave to be VIII, the scale breaks down as follows: I, IIIb, IV, Vb, V, VIIb.