Here is how I make them for my pinless scroll saws.
Scroll saw sanding blades are made by several companies, and you can find them many places. They are a bit pricy and don't fit some scroll saws without modification. These are very easy to make.
All you need to make a sander for your scroll saw is an old saw blade, a piece of cloth-backed sandpaper, and some carpet tape. Cut two strips of sandpaper about 1/4-inch wide. Put carpet tape on the back and make a sandwich with an old scroll saw blade in the center.
I tried paper-backed sandpaper. It didn't hold up well. I have also tried various glues to hold them together, and nothing works as good as the carpet tape.
You will not get square edges sanding with this method. There will always be a slight curve.