What about Wood
Different wood for different jobs.
Cutting 3D images-You can use many types of wood to cut 3D images. There are some woods that can be cut easier by the blades.
Chess men-I tried to cut chess men out of different woods with a 433 or a 446 blade. Oak, beech and such caused the pieces to be distorted if the pieces were larger than 3/4 of an inch. Which means the largest chess piece must be less then 3/4 inch. Pine could be cut up to 1" but the piece would be smaller again. I learned a lesson from the wood carvers and tried bass wood.     I was really impressed with this wood. I was able to cut out a chess set with the largest-made being 1 1/4 inches at the base. I sold one set that was cut at 1" for $60 dollars.
Brio tracks-I have patterns for brio tracks. They need a wood which does not split easily. Many are made of beech but I have used oak. These types of wood work well.                             
Walnut-I inherited some walnut. This is the first wood that put a bad taste in my mouth. The dust is bitter. I found that it cut easily enough but if you can get some scraps they create beautiful small animals.
Spruce-I have cut out the 2x4 cars with a 420 blade. The tulips work fine using this large-toothed blade. This type of wood has much sap and blades twist easily and get dull quickly.
Please forward your own experience with different woods.                 

Different blades for different jobs
The important thing to remember is you learn by experience. I started with the scroll saw in order to give my children a saw to cut in wood on. I was tired of hearing the words can you cut this for me. I have tried to teach them and so I have taught myself. I will be using the Olson blade number that you would buy them in the store and at times describing a general blade. The numbers that you see are Olson numbers. They often have letters with the number like an  R or F and others. These letters indicate reverse teeth or a fretwork blade and even skip tooth blades, not to mention spiral blades.Fretwork blades produce smooth cuts that need no sanding. Reverse tooth blades need no sanding on the bottom, because they do not cause burs on the bottom. Experiment with various blades. I have included some TPI numbers which means teeth per inch. I have also used the Universal number which also means little to me. These numbers do not describe the blade good enough to purchase the correct blade. The Olson numbers are a better standard to buy blades. Ignore all numbers and get to know your Olson number.

415-a good beginner blade often with pins. It is not a good blade to do accurate work with. I use it only as a first time on the scroll saw blade. It has small teeth so there is little danger for the many children I have taught on the scroll saw to get seriously cut. It also breaks more often then other blades, which is okay because it teaches them how to put blades on and off the scroll saw.
420-This is a common pinned blade we use. It has large teeth. We use this when extremely fine work is not required. The edges are not as smooth as the fretwork blades. The teeth on this blade have a large set (the distance the teeth are bent apart) to them then so it can cut thicker materials without bending or twist (as the fret blades often do). This works great on 2x8 material that I use to make piggy banks.
433-an excellent blade for fine fretwork. I have used this for cutting paper in stacks of 50 sheets or even cardboard. Smaller blades are available for this purpose as well.
443-(TPI-20, Univ.#2)This blade is excellent for tight corners in 3/8' oak and such.
446-(TPI 12.5 Univ.# 5)This blade is excellent for thicker fretwork. I used this blade almost exclusively.
448(TPI 11.5,Univ.#7),450(TPI 11.5 Univ.#9),453(TPI 9.5, Univ.#12)-Is for thicker material. As the numbers get larger, the blade becomes thicker in width and depth so tight turning becomes increasingly difficult.
454-I bought some of these blades and they were expensive thinking that they would cut even thicker materials. They did not. They twisted and turned even more than the 453 blades.
Spiral blades-There are a number of spiral blades. These blades cut in every direction. Their main purpose is to increase the thickness of cut. Veining is the term used by many. Think of the veins in a leaf. I would often cut a piece of wood with a 433 blade which gives me great control over where the blade cuts in the piece of wood. The line that is cut is very very thin. After the work is done, I found that the line was not visible. I would put in a spiral blade and cut this line again. At that point the cut line was visible on the other side of the room. You cannot control a spiral blade if the line is not cut first with a regular blade. DO NOT USE A SPIRAL BLADE WITHOUT CUTTING IT WITH A NORMAL BLADE. You will not be able to control its direction. An example of the use of spiral blades can be seen in the home page. The hair lines were cut with a 446 and then increased in size with a spiral blade. Please note that there are different sizes of spiral blades with different thicknesses.

Patterns on the Wood
The most important thing to remember is we cut out patterns. Wood is underneath but we are really only cutting out patterns. What ever pattern we use we must get it to stick on the wood. I have tried many things; tape, double sided tape, contact cement, spray contact cement. All of these don't work well. The only thing I have found to work well is Spray mount used by photographers. This is a spray that after it is applied the picture can be removed again. A scroll sawer wants a pattern to remain for a time and then remove the pattern. The only spray I found to work is made by 3M which was once called spray mount and now called Super 77 spray adhesive. I have found it only at Building Depot or Business Depot. One can goes along way. Check it out at 3m.com

Still cutting out one at a time?
Why are you cutting out only one piece of wood at a time? Cut out as many as you can. I can cut out 8 pieces of panelling at one time. Some have used nails but I like saving money so I use flat headed screws and screw as much material together that I can and cut. When I am finished I take the screws out. Dry wall screws work the best. The screws either go through the corners of the wood or through the last piece I am going to cut out. Remember the screws have to be far enough appart to make sure the wood layes don't shift. Put in three screws if you are afraid that it might shift. When I am cutting out the oak picture frames I put together two layers of 3/8" oak and I put two screws through the top layer into the bottom layer. I put the screws through the piece that the picture will be seen through. When I cut out the 3d lions from cardboard for a children's group I put many screws into cardboard stacked 8 deep. What ever you do stack the wood as much as you can. It saves you time and energy. Remember that you might have to change the type of blade you use but that is what experience teaches us.

Use of wax to cool blades
Burnt wood, melting plastic, dull blades are common problems for the scroll sawer. Wax acts like oil on mechanical parts. It reduces friction and cools the parts. These problems can be solved by slowing down the speed of the scroll saw, but many only have a single speed saw. These problems can be reduced with the use of wax. Almost all the wax I have seen used goes on the blade and it helps little. The most important part of scroll sawing is the pattern. Think pattern and go to your odds and ends drawer. Find that half burned candle from that romantic meal you had with your wife or husband. Mount your pattern on the wood. Light the candle (white candles are best because the wax is more see through). Then let the wax drop onto the pattern especially where there are sharp turns to be made. The higher you hold the candle the more splatter and the wax is shallower. Experiment to find what works. I would only do a few holes at a time. If you do the entire pattern to begin with, the wax will get cloudy because of the accumulation of dust.When it comes to plastics some plastics will even melt with wax and the speed has to be reduce. I have cut plexiglass and plasics stacked up to 1 inch thick. If you find that the wax causes you to loose sight of the pattern you might want to make wax paper with old candles by melting them and dipping paper into it. When you stack plastic or wood you put this wax paper inbetween the layers. Wax keeps wood from burning, helps you cut through plastic and increases the length of time you can use your blade before you sharpen it.

Which way to turn blades
The problem with straight lines is they are difficult to cut straight with the scroll saw but the other problem is which way should you be cutting out a hole? Should I cut it out clockwise(CW) or counterclockwise(CCW)? The answer is determined by the blades and how they are made. When the blade is installed properly, teeth down, the saw almost always wants to cut to the right. The reason is that the blades are, I believe, putched out of a piece of metal and therefore are sharper on one side than the other. The right side is sharper then the left. That means if you cut a hole out of wood CCW it will be much easier. The other point is that if you need to cut out a small hole CCW is the way to do it.

Stacking, Multiple layers, and turning
When you are stacking to cut out multiple copies you will find that the hole will be a little smaller at the bottom than at the top or the other way around. If you try to cut CW the hole on the bottom will get too big and the bottom piece or pieces might be of no use. If you cut CCW the hole will become smaller and it will be usable. I have worked with slots and tabs, like the 4 piece lion stand up on the easy page. What I have discovered is that when I have cut eight of these out at once the bottom one was unusable. I changed my technique in that I did not cut around the hole. But I cut into the pattern for the slot. I then pulled the blade out and then cut in on the other side, so both sides of the slot were cut from the same direction. That meant the slot was then the same size at the top as in the bottom.