As I understand in order to use Telemetry I have to work with an ActionScript project. But how would I add UI components to this project? Or if I use Loader to load another SWF (with all UIs) will I be able to use Scout to it full power trouble shooting UI problems?
You only need to enable Telemetry on the main SWF, not on every SWF you load.
If you have a non-ActionScript project (like Flex), or an existing SWF, or you don't use Flash Builder, then you can enable telemetry on it with this simple tool: