I believe Dianne Thompson has perfected the art of compound cutting, and if you visit her site and follow her directions you will not have any problems doing compound cuts. I have found a couple things that make it easier.
#1) When cutting a chess set, you should cut all your blanks to length on a chop saw, this will guarantee a nice flat bottom for your chess piece to stand on. Position the pattern on the staight edge, and don't worry about sanding the end flat.
2nd) Drill a pilot hole in the bottom of the piece, so you can insert a hook after the piece has been cut, this will make finishing the piece very easy. You simply dip the piece in your choice of finish and hang by the hook to dry.
3rd) When doing fretwork in a compound piece, such as an ornament, make sure you leave the waste in place, and when you tape your piece to cut the otherside, tape the waste back in. This will strengthen the piece and your frets will not break when it's put back in the holding clamp.
4th) Tapeing the piece back together after cutting the first side is an absolute must. If you don't tape, your piece will probably come out crooked. Make sure you tap the piece on the table to settle the first cut back into position and then wrap a couple pieces of tape around in order to hold the first cut firm.
5) A holding jig is a must as well, it gives you something to hold onto while making the turns. I tried using two pieces of wood with clamps, but I found the clamps got in the way, so I made this jig
Picture 016.jpg which makes the blank very easy to hold.
Always wrap your blank in packaging tape, this prevents burning. Wrap the tape aroung the length of the blank rather then the width, this helps keep the sawdust out so you can easily see the pattern lines, and always use at least a # 5, straight tooth blade. My preference is a # 5 Polar blade from Flying Dutchman.
Scroll Saw Patterns by Diana Thompson at Scroll Saw Inspirations
Well that's my 5¢ worth hope it helps
Marsha