As stated by most people here, practice, practice, practice does help. With that being said, I would like to add some suggestions that may help you.
1) Staying on the line while cutting straight or circular: Have you checked to see if the blade is square to the table top? If not, reset your table to zero, and the move your angle indicator to match. Another possibility is that you are not pushing your work piece straight back into the blade. If you happen to be pushing the workpiece to one side or the other, it can cause the blade to "wander" in that direction whichsl makes it pretty difficult to stay on the line you want to cut. I read that someone said to think of the blade as a pivot point when cutting round shapes, and by doing that, the work piece doesn't need much feed pressure. It's almost like it feeds itself around the curve.
2) Speed of the blade: General rule of thumb is that the thinner the workpiece, the slower the blade should be run, assuming you have a variable speed drive, and the blade size should go smaller as well. So in the scenario you presented, the speed should have been set at 1/4 for the 1/4" material and 1/2 for the 1/2" material. You will find also that as the blade speed gets slower, the easier it is to follow the cut line.
I have 2 scroll saws. One is a Delta 20" with variable speed drive and the other is a Hegner Multi-Max 2, and is not a variable speed machine. They both have a place in my shop as I work with different thickness woods. Most of my work is done with 3/4" walnut so I normally will use the Hegner for that as I want the fast speed (1600 spm) and feed. And the Hegner is what I cut my teeth on, so it's my favorite saw. I can cut the thinner material using it, but it's much more aggressive on the feed, so I really have to pay attention to what I'm doing. But with 2 saws, I normally will switch to the Delta for 1/2" or thinner material. One more thing, I have learned that to make tight corners without having to back out and come in at a 90* from the other direction, is that when you get into the corner is to shift the feed pressure from pushing into the teeth of the blade, is to change the feed pressure to the back of the blade and then turn onto the cut line going out of the corner. That's the best way I can describe the technique I use for tight corners.
For finishing my work, I use Deft lacquer spray. The 1st coat acts like a sealer, and then I spray 2 more coats on for the finish. The advantage to the lacquer is the fast dry time and the ease of use. Also, spraying the finish on looks a lot nicer than brushing and you remove the risk of the finish running down the sides of your workpiece.
Well, these are just my thoughts on your questions. Hope they help and remember: Practice, Practice, Practice!!!!