How should I probe the primary side of a SMPS?
You need isolation to measure anything connected to the mains, since parts of your scope will also be. One way is to isolate the power supply with a 1:1 isolation transformer, or you can use an isolation probe (costly!). I've known scopes being fried because they weren't isolated. 

To measure the high voltage you can simply make a resistor divider. Don't forget to take the scope's input impedance into account, and make sure your resistors are OK for the high voltage. If necessary use multiple resistors in series.