Will your scroll saw take pinless blades? Most scrolling is done with with pinless blades. It is much easier to thread the blade through pilot holes this way. With veining and line cutting especially, you're pretty limited pinned blades. I've seen some people remove the top pin, thread it through the pilot hole, then re-insert the pin (or use a small nail). This is very time consuming and, depending on the brand of blade, it may not be possible. If you can use pinless blades, I strongly recommend that. You can find some quality blades from Mike's Workshop. I'd buy his sampler pack to get a feel for different types of blades. These are all pinless blades and will produce really great results for you and pretty cheap (compared to the stuff you find at the hardware store).
Welcome to the hobby. You'll have a great time with it. If you have any questions, please don't hesitate to ask. There are a lot of friendly and knowledgeable folks here.