This will be a somewhat long post so settle in.
Cheapest solution, get a blade of the correct size for the material
you are cutting. A saw blade should have at least 2 teeth and
preferably 3 in contact with the edge of the metal. The other side of
the coin is having to many teeth in contact, the tooth void fills
with metal before you cross the sheet, it will really slow the
cutting down, but gives a very good finish to the edge.
Speaking only for myself, I use a Delta Shopmaster Scroll saw. It
will hold the finest jewelers blades with out breaking them. Not that
I haven't broken any, but when I did it was my fault not that of the
saw. On my saw you can't use it straight up, there is a lip in the
area of the saw plate (a small plastic plate which the blade goes
through) which catches on nearly everything. What I did to get over
this problem was to take a piece of aluminum from the hardware store
and cut a cover for the regular table, drill a 1/4" hole in it and
clamped it down using little 'C' clamps. I used Plexiglas a couple of
times but the aluminum seems to work better and last longer. The
smallest item I have cut to this point is a dime size snow flake in
30 gauge silver. Another thing I like about this saw is that it has a
removable pan in the bottom which holds the material removed during
cutting (swarf). You have to put the blade in so the teeth face
down, that way it pulls the work into the table to keep it steady.
Finishing of the items is done with ceramic media, fairly course and
run it for about an hour in a vide tumbler. What little smear there
is in the sawn area is abraded away and leaves a nice smooth piece.
You can reduce this time by sawing slower, it produces less of a kerf
ridge. Another thing that helps keep this ridge down is to use a
finer blade. When selecting a blade, use an eye loop and you want at
least one tooth and preferably two in contact with the metal at all
times. Less than that and you break blades, or it looks like you
attacked it with a chisel, the saw has a 1 inch stroke so cutting is
pretty fast. Polishing is done in the same vibe unit with a bowl of
steel media. There are saws which are sold specifically for this
purpose at Rio Grande and several other establishments, but I owned
this one already and decided to give it a try. I was very pleased
with how well it worked and greatly increased the amount of saw work
I can do before my thumbs give out. (Its not really my thumb, it's
the joint where my thumb joins into the palm) It is really
aggravating to have to stop a project because my thumbs won't join in
or grip a saw or file handle.
Anyhow, there are about as many suggestions on which machine or
method to use as there are people in this group, but this is the
method and machine I use to cut very small items from plate. I have
never had a problem with distortion.
Hope this helps