I was able to configure External Build with scala plugin (v.0.7.41). Here are my steps:
1. Open Settings -> Compiler and select "Use external build". Close the dialog
2. Open Project Structure -> Global Libraries and create a library with scala-library.jar and scala-compiler.jar files. Right now scala plugin has these names hardcoded and will fail if you use different names.
3. Open Project Structure -> Facets and in every scala facet select the library created in step #2 as Compiler Library.
4. Stop FSC if you have it running. There is and icon in the status bar. Click and select Stop.