The purpose of this post is to demonstrate the process I use to make pens. I an not promoting this as the only way, or the best way to make pens. It is simply, my way. Before I start I need to thank Danae and Renata for their help with the pictures and the fun we had making these pens. I hope they enjoyed it as much as I did.
At left are the basic matials needed to make a pen. The blank, and the pen kit. The kits come in more shapes and styles than you knew (or probably cared) existed. The blanks become the body of the pen and are generally a 3/4" square piece about 5" long. In this case they are acrylic but also come in many other kinds of material.
Each pen kit has specific instructions that provide information on the length(s) to cut the blanks at, how to set up the lathe, and assembly instructions. I have had very good success with the kits from Woodcraft. Their instructions are all available online and are well written.
You start out by measuring and cutting the blank to length. With the kits I've had, the length stated in the instructions has been a great working length. 
Cutting the blank too short or long will cause problems so I try to cut pretty close to the line. Cutting the end as square as you can will make the next step easier so I get that as close as I can too. Neither are hyper-critical, just easier if you get it close. 
Once cut to length, it's time to drill the center hole. The size of the hole will be in the instructions. Woodcraft also has a chart with every kit and the associated size of the drill on their website and in their catelog. It is important to have the hole as close to the center of the blank as possible. The blanks are small enough that I just eye-ball the center when I mark it. This provides the maximum possible diameter once you get to the lathe. While you can buy specialized drilling jigs, I find a wood clamp sufficient. Just square up the blank in both axis.
Heat is your enemy when you are drilling acrylic. I have my drill press set to the slowest speed. You also need to let up every now and then. I haven't done it yet but I'm thinking you could end up with a decorative drill bit if you get it too hot. Don't rush and hold the clamp tight. I think the next time I will try clamping it to the table to help holding it down.
Now it's time to break out the pen kit. This particular on is a Wall Street III kit from Woodcraft. It is one of the simpler kits to work with. There is one turned section of this particular pen.
The inside of the hole drilled in the blank is lined with a brass tube, You start by sanding the tube to the glue has something to grip.
Then it's time to glue it in the blank. I like to put some in the one end of the blank first just to make sure some gets to that end. I have gotten used to using a super glue that is a pretty thick viscosity. Some people use a 2-part epoxy which provides some extra working time. So far the superglue hasn't been a bad experience so I will stick with it.
Then I put 3 or 4 strips of glue on the brass tube.
This is the part where you glue you finger(s) to the blank. At least I do. I insert the tube in the blank (the end opposite where I put the glue in the blank) and work it in and out a couple of times while rotating it to spread the glue around. I tried rubber gloves and it was a disaster.
Then push the tube in all the way. You have about 10 seconds to get to this point after inserting the tube with the glue. It is important that the tube be at least flush with the end of the blank. I like to get it slightly inside the end so I can true up the blank in the next step just a little.
This piece is a specialty tool for making pens. The shaft is a sized to precisely fit the inside diameter of the brass tube we glued in earlier. It acts as a reamer to remove any glue that might have gotten inside the tube. 
The cutter at the end has two purposes. It squares up the blank and trims it to the length of the brass tube.
Now comes time to start working on the lathe. Pens are turned on a mandrel that fits right in the head of the lathe. I use the Professional Pen Turning Mandrel from Woodcraft. I like it because of the adjustable length. I never have more space than necessary between the head and tail stock.
I purchased the Easy Wood lathe tools after using them at the wood working show. The tip is a replaceable carbide cutter. The one at left is the rougher version. When the cutter gets dull, you rotate it 90 degrees for a fresh cutting face. It's great for rounding off those square blanks.
Because the Easy Wood tools act more like a scraper than a traditional lathe tool, you hold them level with the cutting edge at the axis of rotation. The lathe is set to about 1000 RPM for the turning the blank.
Once the blank is rounded off a good amount, I like to switch over to the finisher. When I did the first pen I didn't have the finisher and only used the rougher. I found the corners would dig in slightly and it was harder to get the shape I wanted without digging in. (I need to admit here that the last time I used a lathe was in high school.) The finisher gives me the ability to really control the shape of the pen and leaves a smooth finish. Here too, when the cutting edge gets dull, you rotate the head a little and you have a fresh edge.
Once the pen is close to the shape I'm after it's time to start sanding. This is where you make or break the finish. For me, sanding is a 29 step process when I am working with acrylic.The first step is a 150 grit sand paper. With the lathe running, I use the sand paper to finalize the shape of the pen.
Before moving to the next step I am looking for a consistent scratch pattern and a smooth transition from the blank to the bushings. The bushing are metal pieces on either end of the blank. They hold the brass tube centered on the mandrel and indicate the sizxe you should turn the blank to. Because they are the same size as the hardware you use to complete the pen, a nice transition here means a smooth connection when the pen is complete. The bushings are different for each style of pen.
Once I am satisfied with the scratch pattern, shape, and transition to the bushings it's time for the next step. From here on out your goal is to create finer and finer scratches to get a polished finish. Make sure you like the shape because what you have now is what you will keep. With the lathe turned off, I hand sand the length of the blank.
The goal here is to remove all of the scratches going around the blank. I am very picky at this point because any scratches remaining from the previous step will only become more visible as the grits get finer. Again, I'm looking for a consistent scratch pattern before moving on to the next grit. Wipe off the blank and repeat the process for the next 13 sanding grits (yep, only 27 steps to go). If you move to the next grit and find a deeper scratch that you can't remove, you have to go back a few steps. Personally, I go back two levels.
A quick little hint here, number the pieces of sand paper. That way, if you have to go back you can go through the grits in the right order.
These are the sanding supplies I use. The sand paper grits are 150, 240, 320, 400 and 600. After that I switch over to the micro-mesh pads. These foam mounted abrasives go from 1500 grit up to 12,000 grit. One thing I have learned using the micro-mesh is that the first grit will make any scratches missed through the previous steps will become very apparent. Get rid of them now. They will only become more obvious if you continue.I repeat the two-step sanding routine for each of the micro-mesh grits too. I continue to wipe off the blank after each grit.
After the last grit, I use a good Carnuba paste wax to give the pen a nice shine. When you are done with these steps, the blank will have gone from the dull and scratched blank shown above to the shiney and polished blank at the left.
Once the blank is complete it is removed from the lathe and assembled using the instructions specific to the kit.
Here are the girls with the pens I made.
