First, Ive noticed that if you use more than, say, two coats of CA, the pen will have a plastic feel. This makes total sense because the CA is an acrylic of sorts so the more you add, the more "plastic" you get. The advantage to this is you get a rock hard finish that will last nearly forever.
Second, the wood makes a difference. Ive tried using a few different types of woods; cherry, tiger maple, paduk and rosewood. For some reason, it seems to me that the harder woods such as cherry, paduk and rosewood seem to do better than a softer wood such as maple. I have had success with maple, but it just seems more finicky than the other woods.
Third, one thick coat goes a long way. How I have had good success is to use a good coat of BLO. I apply this by wet sanding with 1000 grit paper and wiping the access with a rag. Then, with the lathe off, I apply the CA to the pen while rotating the mandrel by hand and quickly rubbing back and forth. I go around, quickly, three or four times, then stop. Next, I let that sit for a while to harden and cure, then I come back and wet sand with BLO, but this time with 2000 grit paper. I then increase the speed and apply BLO to a rag and wipe the whole thing down and apply slight pressure to heat the BLO into the pen, if you will.
This method has given me the most success so far. The other thing I really like about it is you do get a good protective CA finish on the pen, but it does not feel like plastic and retains the warmth of the wood underneath. But, this is all one persons observations, I would love to hear your take and your method for finishing.
Be safe!
