Lots of different tried and tested (and usually cheaper) ways to get rid of the fuzzies, as well as sand down high or uneven spots on your lines. Like Dan said, smooth accurate cutting eliminates most sanding, but when you do need to get in there and clean things up a bit, a few inexpensive items can be more helpful and last longer than those scroll saw sanders.
Emery boards ("borrow" some from the Mrs if you don't want to be seen purchasing some!)
X-acto knife (great for trimming off that stubborn little fuzzy that just won't come off)
Needle files (come in a variety of shapes and can get into some very tight areas)
Sandpaper cut into narrow strips (work good for minor touch ups)
Torch (butane or propane - If you already have one, it's very effective at removing small fuzzies. The key is to keep it moving, otherwise you'll scorch/burn the wood or even start a fire)
I've never tried the scroll saw sanders, but I've also never read anything positive about them from someone who had put them to the test. They just seem like a gimmick to me. My 2C!
Hope this is helpful!