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This is a great question to ask! Ill try to keep my answer simple. You can do either one you like, it just depends on what you're going for. Like someone said, if you want a more complex, jazzyish feel you might try changing or thinking in different scales for different chords (but learn the modes. Those will let you play any scale at any place on the fretboard, even 'inside' other scales), but if you want a tight, bluesey or rock sound, staying in one position is great. For example, the comfortably numb solo is played primarily in just a standard b blues scale, without changing.
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