First, I leave autocasting of explore on for scouts I don't intend on leaving in a gravity well. I simply queue up a set of planets for them to explore and then they keep exploring if I miss the next set of commands. In MP I aways have 1 or 2 scouts exploring the edge of the system looking for nearby enemies. I'll send 1 or 2 towards the middle to see what planets are nearby. I keep giving manual assignments to these scouts until I determine they can go on their own. For scouts that find an enemy planet I use the looping strategy mentioned below.
A couple of scouting strategies I use.
Kill the constructor. Might as well have your scout do something useful while it's sitting in the gravity well. This is useful in MP when people aren't paying attention to planets.
Shift click around the gravity well for multiple loops. This can be useful if I want to keep a presence in a gravity well but don't want local militia to kill it right away or want to keep an eye on the enemy and don't have probes, lingering presence, etc researched.
Shift click around a set of planets you want to monitor. You can preset the loop quite a bit. I leave the scout(s) on auto-explore in case I don't get back to it in time when the loop finishes. The purpose of this scouting is to identify what ships and infrastructure the enemy is building and to keep consistent tabs on them.
Leave a scout in a neutral gravity well (i.e. worm hole, plasma storm, etc). Even if he dies before you see what happened you will get a report of what last occurred in the well.
Always scout before you jump (stinks when you get excited and forget to scout ahead and get caught in a trap). This can be done with any frigate, but I like to keep atleast 5-10 scouts in the fleet for this purpose.