I have found that Scottish records are the hardest to find as many records of the 17th and early to mid 18th century simply weren't kept and those that were have been destroyed making it almost impossible to track down people like your James Will born around 1720. Even going to Scotland hasn't helped me at all with my research.
However,many of the old churches still have records that haven't been transcribed or put onto indexes like Ancestry or Rootsweb or I.G.I. If you are able to try and track down or contact the churches in the area where your James Will lived would be the only way that I can see for you to go forward with your research.
Let me know where James lived and I will make an attempt to find something.
Ian Wills ( Melbourne-Australia )