There are two common approaches to notating music in the klezmer scales. One approach is to use the standard Western key signatures and indicate accidentals as they occur in the melody. For example, a tune in D Freygish would be notated in Gm with accidentals indicating the F# as it occurs throughout the score.
Another approach, used by many ethnomusicologists, is to indicate all of the accidentals in the key signature which results in non-standard key signatures.
Personally, I find the second method more efficient in terms of conveying the scale of the piece. By glancing at the key sig, I know that the tune will have a modal sound. However, I've found that many musicians do not read these key signatures accurately in situations where they are reading lead sheets on the band stand without prior rehearsal. So, I generally notate the Freygish tunes in standard key for club dates.
I'm interested in hearing from musicians as to which method they prefer.