If you're studying a piece in X major or minor, it makes sense to practise the relevant scale - in unison, contrary motion, thirds, sixths, together with the arpeggio, broken chords, triads etc., depending on age and ability level. Having that sense of key is so important for sight reading too, as recognition of scale elements and intervals depends on being able to recall the relevant scale and chords.
Pieces that are composed in a minor key may use notes from both the melodic and harmonic scales, so in lessons we discuss how both types are constructed, whether or not they are to be learned for syllabus exams. First things first, they might ask why there are these two kinds of scale? That's because melodies tend to use sharpened sixths and sevenths of the major scale when ascending, but flattened ones coming down - hence the different intervals in the melodic minor scale to the harmonic minor scale.
So D melodic minor has D E F G A Bflat C D on descending. The response will always be quicker if students have been encouraged to practise scales starting on any note within it. From this we eventually recognise that the notes of the descending melodic minor are the same as those of the relative major scale. and that the key signatures of minor keys always have the sharps or flats of the descending melodic minor scale. Hence F major shares the key signature of D Minor. I've found lessons where, once this connection is made, time has flown by just exploring different keys. When a younger pupil notices that the flattened 3rd is the tonic/key note of the relative major, it's another 'Eureka' moment - we go up three semitones to find the relative 'major' on the parade ground and down to find his 'minor' cousin underground.
So next time you hear the joke, remember that there are more humane ways of finding the relationship between major and minor scales... ;)