It doesn't look as if we have any Record scroll saw owners here, so all I can suggest is that you unscrew the bulb and see if the filament is broken. If it is, you should be able to get a replacement from a local hardware shop. If it isn't, you're in the land of wild wiggly amps and I nothing about them thar critters .
You can scroll quite happily without a light anyway, so I wouldn't worry about it. If you look at other saws on the market you'll find that very few of them are equipped with a light. Mind, I do know some scrollers like to look through an illuminated magnifying lens mounted in front of their saw.