Ya don't expect it to cut like a saw on wood. Take your time the sparks means it working.
Tip: Don't immediately start cutting. (If you already did that is okay). Trace the design with your saw first, then do it again and again by pressing harder each time. Your design will come out smoother....this is just my opinion....
Oh ya you get better results if you cut inside out.
Here is a link you should check out.... I saw what this guy did and basicly copied him. Really good Dremel guide..you'll see what I mean from the tips I described.
http://www.twistedmods.com/article.php?artid=270