About a year or so ago I experimented with hot cutting materials. The best knife I found was in fact the cheapo "woodburing kit", probably the same one you found, Bill, about 12 bucks at Walmart. I even went so far as to begin making luan patterns for pieces that I wanted to be able to make regularly, say a pair of mitten shells, no sweat to pull out a pattern and cut out pieces. But...the issue was that the exacto style blade made a nice cut but lost it's heat very quickly so you had to cut very slowly. The coarser tips cuold cut fast but left a more ragged edge that was often a pain to sew, snagging on itself, and being wobbly enough that it was harder to get a consistent seam allowance. I also needed a surface to cut on, like Masonite, which even at 4x8 gets small fast when working with tarp sized pieces. In the end it has proven to be far faster to just lay it out and cut it out, small pieces with a rotary cutter, big panels with good old sharp scissors. Cut carefully to the line, if you used a pattern and work carefully there is no reason that your pieces shouldn't be really close in size (within a 1/16", plenty good enough for fabrics IMO). Sew it up and then heat seal if you must/need to. I agree with Tim though, as long as the raw edge isn't exposed I have never had any issues with just leaving them alone as long as there is proper seam allowance in the first place(fabric dependent).
The other issue I had with hot knives was the risk involved. Distracted by what I was doing in a limited space, I burned several holes in project material during the cutout. Never had a problem with scissors though.