If you do a lot of scroll saw projects you will quickly find that it can be hard to find thin boards. Most big box hardware stores only carry 4/4 lumber. and what they do carry is very expensive. If you are lucky enough to have a hardwood lumber store in your area they will charge a premium to dimension 4/4 lumber into thin boards if they will even do it at all. You can buy scroll saw ready boards online but again at a premium price.
If you are wanting to build out your workshop there is a tool that can pay for itself pretty quickly. A decent band saw along with a planner will allow you to rough re-saw 4/4 stock into rough thin boards. Then the planner is used to thickness the board to final dimension.
Setting up and using a planner is pretty simple. Setting up a band saw is often a challenge for a novice. The video with this post is by Alex Snodgrass of Carter tools. He gives the best advice on setting up a band saw I have found.
I realize there are a lot of scrollers who cannot afford the space or money for this kind of setup. I understand that. If you are a serious scroller and want to save money in the long run then expanding your workshop might be something you want to look at. The most common email I get is "where can I find cheap thin stock for my scroll saw?" Unfortunately I don't have an answer to that. Wood is not cheap. The best way I have found to save money on wood is to invest in the tools that allow me to get the most value out of the wood I buy.
DVD and the 2013 update DVD at this link. DVD #1 is $20 and contains over 1,100 patterns. The 2013 update DVD is $7.50 and has another 178 patterns.