It depends. How exact do they have to be? What kind of material? Do you have another method available like a bandsaw, stationary disk sander, or router table?
With most materials you can freehand cut a fairly accurate circle on the scrollsaw with the right blade. I'm not sure how well a jig anchored to the table of the scrollsaw would work, but a circle jig anchored to a band saw works great. If you have a stationary disk sander or a router table you could freehand cut close to the drawn circle and then use the other tool to achieve a true and reproduce-able circle.
Good luck! I hope this was beneficial.
