Watch the Highlands online guitar lesson by Jeff McErlain from Soloing the Changes
The chords in "Highlands" are all in the key of E major: E, B, C#m, and A to be exact. These chords match up with the number where they are in the scale. The chords of E major are E-F#m-G#m-A-B-C#m-D#o. As you can see, we have a I-V-VIm-IV progression. Once again, spell out each chord to find the similarities and differences. Yes, we could just play an E major scale over all the chords but thinking that way doesn't help in making the changes in a conscious melodic way.