Unfortunately, I lost the "Plain Blade Set Screw," Ryobi part #1130262, A60 in the exploded service part diagram, and the red thing in the drawing here. Actually, there are two such set screws to grip the blade at the top and bottom, and I lost both. What makes that really unfortunate is that a quick search on the web reveals the part is "Obsolete -- Not Available." Ever try using a scroll saw with the blade not held tightly? :-(
It took me several tries to come up with a replacement. What worked was using a drill as a mini lathe to modify a "Socket Head Cap Screw." This Instructable should allow you to improvise your replacement part in one try....
Step 1: Stuff You Need
We'll make our improvised replacements using two "Socket Head Cap Screw M5-.80 x 16." That answers one problem I solved by trial and error -- this is apparently the correct metric thread for this part. The head is fit by one of the wrenches that came with the saw, although not the long one with the plastic handle. It cost me about $0.80 for two of these screws at a local store.
The catch is that the thread will not let this screw in far enough to clamp the blade. I don't know why, nor do I care. It screws in far enough to be very solidly held. So, what I did was to simply remove some threads from the end of the screw so it could go in all the way. I did that using:
* A drill press (or power hand drill that you can clamp to a table) -- we'll be using this as a mini lathe
* A metal file -- the cutting tool for our lathe