I use mostly CA as well. After trying several different CA brands, I settled on GluBoost. For most pens, I use two or three coats of regular, followed by two or three coats of thin. I use the GluBoost accelerator after each coat; a quick fine mist from a distance. I like GluBoost because I get consistent, crystal clear, "sparkly" finishes and their accelerator has never given me any issues.
Remember to cover your lathe bed to protect it. I use a plastic shopping bag, weighed down with scrapwood to keep it from getting sucked into the turning lathe. Run your lathe at a slow speed.
Before sanding, I change out the metal bushings for plastic non-stick ones. The plastic bushings avoid the issue where sanding can embed metal particles from the bushings into to your wood and darken it. Be very careful not to round off the edges as you sand or sand off too much. You worked hard to match the turnings to your bushings.
Before applying the finish, I sand with the five sandpapers: 150, 240, 320, 400, 600.
Stop the lathe after each grit and sand sideways along the grain while slowly rotating the hand wheel, to remove circular scratches. Wipe the blank between grits to remove any grit particles that may scratch.
I apply CA finishes with craft foam. I cut off tiny squares from a 9x12 inch (2 mm thick) sheet to apply it. 88 cents at the local Walmart. Wear a glove.
For me, the trick for applying CA finishes is to use very little at a time. I aim for two drops on the foam pad. Move the pad back and forth, smoothing the CA. If you see ripples, keep smoothing. You have time, but not a lot of time. Learn what it feels like when the CA just starts to get sticky. You should have stopped before that.
I use wet Micro-mesh pads to polish CA finishes. I mark the edges of the pads with dots to keep the order straight; 1 dot through 9 dots. It takes only a few seconds per pad. Be careful not to sand off the CA finish with the rougher grit pads. Like the sandpaper, stop the lathe, polish along the grain to remove circular scratches, then wipe off the pen blank before proceeding the next finer pad.
I recommend buying the 3x4 inch pads (over the 2x2 pads) and cutting them up to save money. They last a long time. I lost my first "set" at a demonstration a year ago, and I am still on the second set. For the glossiest pens, I use Hut Ultra Gloss Plastic Polish as a final step. If you want a more matte finish, stop at Micro-mesh pad #4 or so.
CA finishes are quick, easy, and durable, but they don't work on all wood pens. I don't use them on the very darkest woods. CA finishes turn them black, with no grain definition or character. Examples include ancient bog oak and some very dark rosewood blanks. For them, I resort to Hut Crystal Coat, a shellac and carnauba wax friction polish. I do not recommend Crystal Coat, and will try another friction polish when the one I have runs out or expires. In addition, friction polishes are not nearly as durable as CA finishes, but sometimes they look best.
Other people use Traditional woodworking finishes like lacquers. Some people use boiled linseed oil before applying CA. I have not tried any of them. What I have works for me. If you want more info on pen finishes, try:
For plastic pen blanks, I sand, skip the CA, and use Micro-mesh and Hut plastic polish.
You can practice by applying a CA finish to your roughed-down cylinder blank, before you turn it into a pen. Use your lathe tools to turn off the finish, then keep practicing and removing finishes until it is time to complete the pen. You will learn the skills quickly.