have you tried embroidery arts? The are not free but they are gorgeous

I recently bought a CD on eBay for Monograms. At that time there were some Script monograms offered. You might check there. The ones I received sewed out very well.

I have a folder called Palace fonts that consists of capital and small script letters. It is in the pes format. I could email you the file if you would like. If you don't have pes I can convert it to a format that you have. Let me know your email address if you are interested

I have a folder called palace Fonts. It has upper and lower case. If you like I can email it to you. Let me know your format if you are interested.

here are some sets
http://www.designinmail.com/monogram.asp

Here is a link that might be useful: Atomic Digitizing

Embroidery Arts is by far the best that i have bought. they stitch out beautiful.