First of all, new to this site, but doing pens, both wood and acrylics for about a year and half. I love doing the acrylics, and so do my customers.
First thing I do is once I have the tube glued in place and the blanks squared up is to take the blank to the belt sander and round the edges so I'm not beating up my roughing gouge. Makes all the difference in the world. (By the way I use the thick CA for both wood and acrylics and have never had a problem except one time when I forgot to rough up the brass tube.)
Once I'm done turning the shape of the pen, then I start out with 220, go to 320, and then 400. I also use a fairly fast speed, but don't put hard pressure on the acrylic. You don't need to!
After using the regular sandpaper, I then switch to micro mesh at 1500, and go through all the grits to 12000. I WET SAND with every grit of micro mesh. When I hit 12000, there is absolutely no need for any type of polish, but I do put on a bit Renascence wax after I'm done with the sanding process to protect the finish. I do this on the lathe with the lathe running, allowing the blank to get a bit warm, but not hot. NEVER HOT!
I then assemble, put a bit more of the wax on all components and do a final polish with a soft cotton cloth. They absolutely glisten, and as I said, my customers absolutely love the way they look.
I learned this from John (can't remember last name) at the Spokane, WA Woodcrafter's Store, and the method is spot on. I finish a lot of my harder woods in this same manner, but I do apply some type of finish on the pen after using Triple E. Sometimes the wood comes out looking like plastic which some like and some don't.