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Harmonizing the scale means, taking the notes of the scale and making chords using those same notes
Start by putting notes together a third away.
See the examples below
This is also known as Scale Chords
Basically any scale or mode has chords that you could use that work with that scale or mode. So you could play a couple of chords that belonged for example, to the E Harmonic minor scale, and improvise over the chord progression using the E Harmonic minor scale and it would work
If you are new to this concept, this may take a bit of study, but it is worth it