Finishing pine has always been a problem and it's not going to change. I try and steer clear of pine in most of my projects unless I am going to paint it. If you are buying pine at a big box store figure up how much you are paying per board foot. I think you will be surprised and not in a good way. Check this place out for good scroll saw ready wood. The great folks here on this forum recommended this place to buy lumber and they are right.
http://www.ocoochhardwoods.com/