I think it depends on your scroll saw. Some saws work better threading from the top, other from the bottom. I thread from the bottom. The blades should flex a fair amount. Even if they are bent a little, once you get it into the blade clamps and tighten the tension knob, they'll straighten right out. If you're using a quality blade, it shouldn't kink at all unless you're putting a lot of sideways pressure on them. Once you get a kink or sharp crease, they'r more likely to break while scrolling. But I find they can take a fair amount of abuse, so I wouldn't be too concerned about it.
BTW...if a blade breaks while you're scrolling, it'll scare the bejeezis out of you. Don't worry, it happens to us all, even the seasoned scroller. Just turn off the machine and change blades. Also, don't be afraid to change blades. Blades are cheap. For a standard scroll saw portrait, I might change the blade 3-6 times. When the blade isn't doing what you want it to do anymore, or if it takes more effort to cut, it's time to change out the blade.
I look forward to seeing what you come up with.