My Craftsman scroll saw is probably close to 20 years old now. It will take pin or pinless blades, so I'm surprised your's won't. But all I use are the pinned blades, much less of a pain to use, and I don't cut any small holes anyway - and on the very few occassions I do cut holes, I just cut in from the side, do the hole, and back out.
"It ain't what you're told, it's what you know." - Granny Weatherwax
Some days, the supply of available curse words is insufficient to meet my demands.
Call me a craftsman, artisan, or artistic, and I will accept that. Call me an artist and you will likely get a quite rude comment in return. I am not a @#$%ing artist.