My co-worker and I found an inexpensive way to make sanding with a scrollsaw easier. Cut ¼×7" strips of emery cloth in varied grits. The length allows an inch at each end to be folded over a nail (we use 5/8" #18 brads) and glued, using wood glue or contact cement. I prefer the wood glue because it does not stick to the nail, allowing easy removal for sanding inside scrollsaw cuts.
The thickness of the doubled-over cloth and nail combined make just the right size to fit in the side slot of your scrollsaw head. They work great together and are so flexible it is easy to sand both inside and outside radiuses. And you can make several at a time for almost nothing.