First off I would start with the plywood. I would use Baltic Birch, this is a very nice wood for the scroll saw. It is a very strong plywood even after cutting your fretwork. All plies are birch. Inner plies are virtually void free. Edges finish very nicely. I by all mine from Sloan's Woodshop. David & Rhonda Sloan are wonderful people and I have never had a problem.
http://www.sloanswoodshop.com/plywoods.htm Second, I would use Flying Dutchman blades absolutely the finest blades available, the New Ultra Reverse or Scroll Reverse.The size would depend on how intracate the pattern. I buy all my blades from Mike at Mike's Workshop. You can call him and ask questions, he is always willing to help, service is great to.
http://www.mikesworkshop.com/ 
