I turned pens for about 2 years, off and on. I can say this: it was one of the very few woodworking projects that you can knock out within an hour and have a finished product ready for delivery.
Tips:
Take your time drilling the blanks. Use a drill press, with a very stable centering holding jig. Set the drill press to the slowest speed and clear chips frequently. Early on I had a number of pens split (AFTER they were done) and traced it back to heat buildup when drilling, which caused expansion and weakened things.
Practice turning on soft maple. Why? It has a super tight grain so its not prone to catching; it's fairly cheap; and it's hides mistakes easily (light colored). Bloodwood is also a good wood to practice on, AND it's very nice when completed.
Special woods are the hardest: snakewood is incredibly difficult; zebrawood (chips out easily); birdseye anything. These require extremely sharp tools and extra patience.
Invest in good quality turning tools. Sharpness is directly proportional to good and easier results.
Don't fall for the China junk. European brands abound.
Be comfortable sanding for a while. Turn things pretty close, then sand the rest. A few inches of sandpaper costs mere pennies. The exotic or acrylic pen blanks cost 10-20 times more if you blow it or turn it too small.
The absolute most beautiful naturally finished woods were IMHO: African Blackwood, Olivewood, and Snakewood. They sand smooth as glass and take lovely finishes. Olivewood smells awesome as you cut it. Ladies love the tulipwood.
Wear a dust must at all times, even if you have good DC going. Those chips and that dust are right at your face level. Also eye protection or a face shield. One pen blank that explodes into sharp pieces can really ruin your day... errrrr, the rest of your life actually.
Play around with and learn the CA finish. It really provides a nice attractive and protective finish. There are a number of guides, but the simple story is: apply thin or medium CA liberally, while it is rotating. Immediately follow by applying boiled linseed oil (BLO) fairly liberally and very quickly. The BLO thins the CA, causing it to dry super smooth and catalyzes it or something, so it dries fast. I used the blue shop towels to apply both and after a few times got repeatable results I was very happy with.
Invest in extra mandrels. At my busiest I was sometimes makeing 3-4 in a run, leaving each on the mandrel from roughing all the way to final finish.
In choosing a mandrel, try to find longer ones. I had two that could just barely hold two blanks at a time for the Wall Street / Gatsby pen body. That's turning two at once.
Woodnet is a good marketplace for pen blanks. Lots of members with exotic and semi-exotic cutoffs for sale all the time.
The process is three steps (prep; turn; finish), two of which cannot be done same day (you have to let the glue/epoxy fully cure for the tubes).
Drill a bunch of blanks at once and glue in the tubes... that way you have a plethora on-hand to choose from whenever the fancy strikes you to do some turning.
Wear comfy shoes!! This sounds sily, but a good turning session can be 1-2 hours.. and you hardly move your feet in that time.
Last tip: Keep a small stockpile of already-made pens. Donate them for charity auctions; give them as gifts or thank-you's; use them at work!