The short answer is "Read the Sign".
However, that's not always enough. Basically, the 2 factors that determine whether you must pull into a scale are Gross Vehicle Weight and Vehicle Class. Each state and province is different. Generally speaking if the sign says "Vehicles over 4,000KG (about 9,000lbs) Report to Scale" then yes, you will need to pull most U-Hauls in, because their maximum weight is generally higher than that. (Note, it's your MAXIMUM ALLOWED WEIGHT (or "GVW", and NOT your current actual weight that matters for most weight-related regulations.)
Note: For U-Haul trucks, your max allowed GVW is printed in your rental guide, and usually also on the side of the truck. Do NOT use the "empty" or "tare" weight, if listed.
Canada: Some provinces only weigh commercial vehicles, some weigh ANY vehicle over the weight limit. If the sign specifies "commercial vehicles" and not just "vehicles", then you do not need to pull into a scale as long as you are not carrying paid freight. In other Words, if you've been hired to take a load in a U-Haul, you are considered commercial, but if you are just doing a residential move, you are NOT a commercial vehicle. If the sign DOESN'T specifically say "commercial", then if you exceed the posted GVW you must stop at the scale regardless of what you're carrying.
U.S.: Some states (such as Montana) specifically exempt trucks rented for private moving from their scales, regardless of GVW. Most, however, are "Read the sign" states.
At the end of the day,THE BEST RULE FOR SCALES IS: If in doubt, STOP AT THE SCALE. You can also pull over (NOT on the actual scale, please!) at any open weigh station and ASK them about the regulations for that state or province. They will be HAPPY to help you, and may even be able to fill you in on the rules for the next jurisdiction on your trip.
If you are stopped at a scale for being overweight, or if they find a serious mechanical fault during a random inspection, you will NOT be allowed to continue until the problem is resolved. That may mean buying an overweight permit, having service done by U-Haul's roadside assistance on the spot, or even unloading items to solve a weight issue. For load-securing or weight violations you could even face a fine. BEFORE you head out on your trip, have a careful look at your truck for any obvious problems (search the web for "truck pre-trip inspection" for some good easy checklists). Also, if you think you might be overweight, see if a local truck stop in your city has a scale. You can then weigh your truck and ensure you're within the legal limit before hitting the highway.
How to go over a scale: Most scales are "rolling" scales embedded in the road in front of the Scale Officer's booth. There is a display that shows him (and often you, too) what each axle weighs as it crosses the scale. Basically, slow down to the limit posted in the scale area and slowly drive on by. You don't have to actually "stop" unless the signal lights or the Scale Officer tell you to. For all other types of scales, just follow the signs and signal lights.
A long answer to a short question, to be sure. Unfortunately, because scales are regulated at the State and Provincial level, each jurisdiction is different.
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