Like this one, please tell me how your holding the blade in.

Edit
Well I see now that it is a set screw.

The coping saw blade would be too thin for the screw, no?

lanwater
I use a coping saw blade as I mention in the post but a scroll saw blade would be too thin .
A jigsaw blade for scrolling would also work along with mini files etc.

smart idea
and it looks like it fits in the hand nicely

good idea,nice+ handy.