I'm not a good person to explain them in that much detail. Scroll saws (and, similarly, jigsaws) are things that I only use once in a great while.
I looked through a few Youtube videos to find one that looked decent for this, and here it is:
. I had nothing to do with producing that video, but it is pretty detailed. There are additional videos from the same guy - look to the suggested videos at the right. Anything I could possibly teach you about scroll saws, this guy could teach a heck of a lot better.