The videos on this site:
http://www.scrollsawparadise.com/#!tutorials/c2269 helped me enormously when I started. Try to open them directly in YouTube so you can see bigger versions. Watch all his tutorials and also print out and practice using his test pattern.
Grab yourself some quality plywood about 8-10mm thick and practice on that. I know it can be expensive for what it is to practice on, but it'll be flat, it'll cut cleanly and there's no grain to worry about (which on some woods can influence/twist the blade.)
I'd also recommend using a double-reverse blade (something like
http://www.woodworkscraftsupplies.co.uk/doublereverse-tooth-scroll-blades-144s-p-440.html) so that the bottom of the cut is as clean as the top.
Take your time, it's not a race, don't push the wood in, let the weight of your hands move it forwards gently and don't be scared to turn the piece around quickly - you'll be surprised how fast and sharp you can turn once you've got the hang of it.
But really do take the time to watch the videos; they'll show you how to use/abuse the unwanted part of your wood to turn around in and come back so you can get an angle where you want a sharp point rather than a turn. Seriously - invest some time in watching them!
Good luck and have fun!