The aim of General Game Playing (GGP) is to create intelligent agents that can automatically learn how to play many different games at an expert level without any human intervention. One of the main challenges such agents face is to automatically learn knowledge-based heuristics in real-time, whether for evaluating game positions or for search guidance. In recent years, GGP agents that use Monte-Carlo simulations to reason about their actions have become increasingly more popular. For competitive play such an approach requires an effective search-control mechanism for guiding the simulation playouts. In here we introduce several schemes for automatically learning search guidance based on both statistical and reinforcement learning techniques. We compare the different schemes empirically on a variety of games and show that they improve significantly upon the current state-of-the-art in simulation-control in GGP. For example, in the chess-like game Skirmish, which has proved a particularly challenging game for simulation-based GGP agents, an agent employing one of the proposed schemes achieves 97% winning rate against an unmodified agent.