Records of the Methodist Church in Scotland are held in the National Archives of Scotland under:-
http://www.nas.gov.uk/onlineCatalogueThere are many varied records such Baptisms & lists of names in the Sunday School classes.
If you know your ancestors were Methodists, it's certainly worth looking at the relevant circuit records.
If visiting the National Archives to view records, it is essential to phone beforehand as some records are outsourced & require at least 24 hours notice for them to be made available for research