Did human hairs actually evolve from scales?
From a little research I have been able to find some of the hypotheses and speculations but no papers expressly confirming or denying the matter.  

One theory displayed in "The evolution of mammalian keratinized structures" (abstract only) is that mammalian hair developed along the following pathway:


Hair follicles develop between reptilian like scales.
A granular layer formed in the pilosebaceous canal (see diagram of modern human skin)
The granular layer extended into the epidermis.  I read this as the point where scales started to more resemble mammalian skin.  It is suggested that this was as a result of a need for increased flexibility and agility.  
Hairs began to protrude through the follicles (as seen in rat tails today).  Adaptations to organisms living in cold conditions led to the production of wool to help conserve heat.


So this paper would suggest that hair production evolved separately from but parallel to the movement away from reptilian scales.

"Some Speculations on the Evolution of the Vertebrate Integument" (Paul F. A. Maderson) suggests an entirely different origin of hairs.  He proposes that hairs ultimately evolved from sensory appendages that were involved in the detection of temperature in early synapsids.  The extension of these micro-limbs into hairs was selected towards as a result of their thermally insulating effect by-product rather than for their sensory role, however.