After several months of not being pleased with the results, I have finally gotten very happy with a CA finish on my pens. My main problem earlier was sanding too much which made dull and shiny areas. Here is how I do it now.
1. I turn the pen to the desired size.
2. I put a cover over my lathe bed to protect it.
3. If there are large imperfections I fill them with sawdust and dribble thin CA over the sawdust.
4. After 30 seconds I spritz with accelerator and turn down the filled area.
5. If there are small imperfections or open grain I turn the lathe speed down and sand lightly with 150 grit gathering sawdust in my sandpaper. Then I sparingly drop thin CA glue on the slowly spinning blank and sand with the 150 grit sandpaper until all small openings are filled. I then sand with the grain with the 150 grit, with the lathe off. At this point I inspect the blank and repeat the fillings until it is perfect. From this point on, the sanding is not to remove imperfections but only to remove the sanding marks left by the previous grit.
6. Next I sand with 180, 240, etc. all the way to 12000. I stop the lathe and sand with the wood grain after all grits through 3200, inspecting the blank each time I stop. If any imperfections are discovered I backup and fix them. Some imperfections cannot be seen until you hit 800 grit or higher.
7. After the blank is perfect, I set the lathe to low speed for the CA finish.
8. I take a whole paper towel and fold it over and over till it is a thin strip about 1" wide.
I dribble 5 or 6 drops of thin CA on the end of the towel and rapidly coat the blank, only moving across the blank twice, once to the left and then back to the right.
9. After 30 seconds I lightly spritz accelerator on the spinning blank. I hold my end of my paper towel behind the spinning blank so the accelerator will harden the glue on the towel, as well.
10. I flip the towel over and put 5 or 6 drops of thin CA on the end and repeat the coating as in step 8.
11. Repeat Step 9 and then rip off the end of the used towel and then apply one more coat of thin and spritz with accelerator.
12. After a minute, I turn off the lathe and put 6 or 7 drops of medium or thick CA on the paper towel and rub it in the direction of the grain, very rapidly, while hand-turning the lathe wheel. This tends to fill the cross-grain ridges left by the previous coats of thin.
13. After the CA dries (you may lightly spritz with accelerator after a minute or two), I hand sand the blank, with the grain, lathe turned off. I use a very light touch and 400 grit paper until the shiny spots are gone. This requires very little effort.
14. Once the blank is uniformly dull I move through the remaining grits up to 12000.
I tried sanding between coats but, in my experience, it wasn't necessary and frequently caused an inconsistent finish on the blank. I also didn't have any luck with wet-sanding so I just use my sandpaper and Micromesh dry. I check with a magnifying glass after I'm through and have been very pleased with the results. I have sold quite a few pens to computer clients over the past few years and they have not complained.
Everyone who uses CA has their own way of doing things. This is my way and it is no better than anyone else's. Like I said earlier, my main problem was over-sanding.