A new scroll - Terrific!!!!!
Andy has given you a lot of good information. I agree that practicing with 1/4" plywood is a good idea. There is a great deal of difference in plywood bought from the BORG's (Lowes, etc) and from wood suppliers. The Borg's plywood tends to have a lot of voids, and doesn't lend itself to scrolling very well. After you have practiced some, and before you cut a "real" piece in hardwood, practice with the hardwood first. Blades tend to want to follow the grain so learning to anticipate that tendency and accommodate it is worth the practice.
Blades - if any came with your saw I would suggest throwing them away. Cheap and/or poorly made blades can make you hate scrolling. I'd also suggest that you don't buy any from the BORG's. Personally I love the Flying Dutchman's modifications (the link for Mike's workshop was listed in an earlier post - contact him and let him know what you are cutting and he'll often recommend a blade and probably send you a couple of samples), or PSWood's precision ground if I don't want the reverse teeth. Sometimes new scrollers break blades more often because they are forcing the blade, it's too loose or too tight. We all break blades on occasion, just don't worry about it. And don't hesitate on changing the blade - you will be able to tell when sawing seems to be taking more effort on your part to follow the pattern, or it seems that it's gnawing its way through the wood instead of slicing through it. Blades are fairly inexpensive, frustration is not. And every now and then you get a poor quality blade.
Know when to take a break. If you start thinking things like "I'm tired, but I only have a little more and I'd be done" stop. That's the time that I make my worst [STRIKE]mistakes.[/STRIKE] pattern modifications.
We do have some awesome scrollers on this site. Please don't hesitate to ask questions. Even if we've heard them before, we all need to think through them again. You can post here, or send us pm's. I promise to do better about checking in.
Most important thing to remember - is to have fun! Walk away for a few minutes if your start getting frustrated.