I am having the same issue, however, I'm not cutting wood. I'm trying to cut letters out of old hard back books,...
For reference, here is a site that shows the process of cutting letters out of books:
Cool idea with the books! Judging from the pictures on your site you are not using a Dremel MotoSaw, which I would not recommend anyway since the books seem pretty thick.
Whatever the case, scroll saws were not designed for straight line cuts and the blades themselves tend to make the saw cut at an angle. For a much better explanation of this, please see the link I posted in my previous comment. There is some very good information on how to cut straight lines with a scroll saw. And yes, the blades are very thin so they will naturally bend while cutting. The best way to prevent this is to work slowly and not put too much pressure on the blade. If you find this to still be a problem, you might consider using a band saw for the thicker books.
Good luck, and keep up the good work!