A bit late to the thread, was just browsing through.
I think that any thickness you would want the sign to be to stand straight would be a bit much for the regular scroll saw.
I´m thinking you might be better off creating the art work and then get it plasma cut or laser cut.
Very nice work, had to look at the picture for a few to realize it was in fact a puzzle piece.
Did you make the pattern yourself or did you get it from somewhere.
Would love to see how the puzzle pieces are planned to give it rigidity.