I actually set it up like this:
[System.Environment]::SetEnvironmentVariable('scriptArg', 'Hello From PowerShell', 'User')
...only because as far as I understand, when you set it up like this:
$Env:ScriptArg = "Hello from PowerShell";
it does not persist beyond powershell session, and when I was testing it by looking via Windows tools, I was getting some strange behavior. However, I don't even need it to persist beyond the session - within the session is perfectly fine, so I'll probably go back to your (and my initial) option, now that I tested it again.
Thanks!