Randy,
I would bet it's the saw and not you.
This front to back blade motion has been discussed on many scrollsaw sites I visit. There is a "fix" on Rick Hutchenson's site, but it didn't work for my saw. My saw sat for years befor I unboxed it, so my warrenty was gone when I found out about the problem.
Take it back now before you run out of warrenty. Nobody I've heard of has had any luck with the Dewalt service centers either, other than replacement.
Good luck.
edited to fix name