While reading a review of How the Scots Invented Canada from the Caledonian Mercury, here, I tripped across a reference to a this three part series from BBC 2: Scots Who Found the Modern World, a documentary about Scottish explorers.
Part 1 is Scots who explored Africa; part 2 is about Scottish explorers in Canada, and part 3 follows those Scots who went adventuring in Australia. Parts 1 and 2 are available for viewing on the BBC iPlayer until about November 13th, 2012. Unfortunately, only UK residents can view this program in the iPlayer. Episode 3 will air on November 8th and repeat on the 10th (if I read the webpage correctly). Afterwards, I imagine it too will be available on the iPlayer.
I don't know enough about the explorers to know whether or not they became permanent residents of Canada, Australia or Africa. If they did not, and returned to Scotland, they can be included in a special type of emigrant known as the "temporary emigrant." Members the military, the diplomatic corps, factors, and students can be included in this group. These individuals are often a crucial part of migration networks as not only do they have contacts in Scotland and their second colony/country of residence, but they also have first hand knowledge of this potential location that would have been highly regarded by their friends and neighbors.
with thanks to @CalcMerc