In my opinion this is somehow special case which must be handled in the special way. Scrum master will definitely not participate in this - it is not his role at all. Team is usually group of developers and most of them has no experience with UX and it will be waste of their time to force them to this. You will hire UX expert and the expert will not be the part of the team - team should be cross functional and UX expert will probably not be a developer. Also UX expert will not be on the project for the whole its duration. The UX expert will work with the product owner one sprint ahead to prepare mock-ups and wireframes for upcomming user stories so that team knows what will have to be done in the next sprint - mock-ups will be available during the planning meeting. There should not be too much waste (except rare occasion where requirements from customer will change a lot) because the product owner knows what are the most prioritized user stories which will be done in the next sprint.
Edit:
I did some additional research because I knew I read about this somewhere and I finally find it in Succeeding with Agile: Software Development Using Scrum by Mike Cohn. Mike discusses exactly the role of UX designer in the team. His initial description is similar to mine and he consider its as natural shift when company change the development method from waterfall to Scrum but later he concludes it as not recommended way. The reason is that if UX designers are not part of the team they can think about themselves as the separate team and they don't have to share commitment of the development team.
In spite of this @Adam Byrtek's answer looks like the correct one. Make UX guy part of the team and let him cooperate with developers on currently implemented user stories. It will not take all the time of the UX guy so he will also cooperate with product owner or customer to prepare mock-ups and wireframes for upcomming one or two sprints.