You are not alone with these two problems. I too went through these very things. I may have a couple of solutions for you to try.
First of all, about trying to get the blades to travel straight for you.....A solution I have found is using a #3 Pegas blade mgt. This has become my 'go to' blade for a lot of my work. The difference is, as I understand it, most scroll saw blades have the teeth stamped out and this makes one side of the blade's teeth to stand out on one side causing them to cut to that angle. The mgt Pegas blade are machined so that the teeth are in line and they cut on a straight line more like you are used to for the feed of a sewing machine. The Pegas blades are much sharper than most of the other blades so you will need to go slower and be careful not to force the blades but learn to let the blade do the cutting. I recommend that you probably need to cut with you machine running at about medium speed, remembering that the blade cuts nothing until you put pressure to the wood. That brings up the question as to what wood do you do most of the cutting on. Because the Pegas blades are so sharp I can cut almost any thickness and type of wood with ease.
As soon as you can start to feel some resistance from the wood, it is time to think about replacing the blade. On a 3 inch thick hardwood board the time I get from my blades is about an hour.
If you have any questions about any thing I have said or any other item about scroll sawing, please feel free to ask me.
Dick
heppnerguy