We drill many of our pen blanks on the lathe. We hold the blank in the square center of a chuck and use a Jacob's chuck to hold the bit in the tailstock. Oily or wet wood can make steam that pressurizes and cracks the blank. We use a pistol grip extended nose air gun aimed right where the bit enters the wood. This cools the bit, the wood, and helps to clean the bit. We blow air constantly while drilling. If you purchase a cheap drill press for drilling blanks, be sure that the quill travel exceeds tube length by about a 1/2". The best, most prettiest, and expensive blanks are the most likely to crack. Olivewood, African blackwood, snakewood are prime examples.
Since finished pens are so small, a single scratch can be devastating. Between each grit of sandpaper, stop the lathe, sand along the length of the piece, then CLEAN your hands, the piece, and the next grit of sandpaper. A single grain of stray larger grit can ruin your piece. A display of pens should shine from ten feet. Prices, finishes, shine or no-shine, woods, kits, colors all vary by location and shows. Always keep a few finished pens around. They make a cheap instant unexpected gift, prize, award, etc. If you use "friction polish," burn the finish on with the highest speed your lathe will produce. Smoke and almost burnt fingers are appropriate!