I assume you're talking about small turnings like pens and bottle stoppers and such...
The trick with CA is to use boiled linseed oil. Apply BLO to the turning and burn it in with a folded paper towel to dry it. Then put three or four drops of BLO on a folded paper towel and put a couple drops of CA on top of the BLO. With the lathe at medium speed apply the CA back and forth and generate a little heat for about 6 or 8 seconds then let off. Do it over and over and over until you build a good finish.
I use a slower setting CA I got at Woodcraft. In normal gluing applications it is a 30 minute set, 4 or 5 minute cure I think. The hotter CA's that dry in a few seconds won't work well.
There are some great vids on youtube on CA pen finishing.
You can use micromesh if you want but I've found that Hut's plastic polish really makes my CA finished pens look great. I've found the micromesh unnecessary since beginning to use the BLO method.