Thanks for the suggestion regarding cleaning the blade ends. I've been sanding my blade ends since I started scrolling. Still when I tension up my blade, it often slips right out. Granted, much less often than if I didn't sand and clean them, but they still do pop off.
I tried loading a new blade today. It did not slip, instead it broke right in the middle as I was pulling down the tension handle. It was a FD Puzzle Blade as I was planning to cut some very small puzzle pieces. The good thing is that it didn't slip out.... And the break was in the middle due to my over-tightening the tension lever. If you've ever tried these, they are super thin and break easy. Figured that if this didn't slip out, it was a move in the right direction.
More experimentation to come.
John