Here is what I use for scroll saw projects:
Shopsmith 6" Belt Sander - Useful for curved edges and flat surfaces that I want to remove material quickly. The best tool I have for sanding wheels to size.
Delta 1" belt sander - It does a great job on outside edges and can be used for some inside curves. I also have the Shopsmith version, which does the same thing and lets me do inside sanding.
Klingspor Sanding Mop - Expensive, but worth the cost. Removes most fuzzies and leaves a silky smooth surface.
Klingspor Mac Mop - Similar to a sanding mop but a bit more aggressive.
Ridgid Spindle Sander - Great for sanding inside curves as small as a 1/2 inch radius. It also has an oscillating belt sander.
Random Orbital Sanders - I use these for sanding flat surfaces, such as prepping wood for the scroll saw and sanding puzzles. I have four sanders, one Hitachi, and three Bauer random orbit sanders. I have this many sanders, so I don't have to change the sandpaper for each grit. I have the Bauer sanders because the dut port is round.
Quarter Sheet Palm Sander - I only have this because I have a huge stack of 80-grit sandpaper that fits this. I would not recommend buying one.
Grizzly Flex Shaft Rotary Tool - I use this with an assortment of drum and flap sanders for sanding inside curves. You can do this with a held rotary tool like a Dremel, but this is lots better. If it ever dies, I will probably buy a Foredom.
I have other sanding tools that don't get use for scroll saw projects, yet.
These are only the power sanding tools. At some point, you will need to resort to hand sanding.