I don't turn pens but somehow I don't think many are stained. Seems like most use darker woods for dark pens, lighter wood for light pens, figured wood for fancy pens, etc. Maybe they are stained but not that I have heard, but then I don't look at too many pens and turnings.
Maybe cheaper pens are turned using inexpensive light wood and then stained to look richer in color, don't know. But if you seal the stain with a good finish like lacquer or one of the tougher finishes available I guess the pen would look good for quite a while. If that's the case then you can use most any stain.
Just about any wood can be turned into pens. You can buy exotic woods in all kinds of colors from wood suppliers, just google pen blanks.
Pens don’t require much wood to make. If you are willing to use domestic woods you can probably obtain scraps from just about any woodworker. I know I throw away potentially thousands of pen blanks a year.
If you get maple it will stain fairly well, but I don’t know of anyone staining pens. If you decide to try coloring your pens you may want to consider dying instead. Transtint dyes come in many colors, but the cost can add up quickly, probably cheaper ordering exotic pen blanks.
In woodworking there is always more then one way to accomplish something.
The folks on the IAP site penturners.org have had contests for turning pens from the most outrageous materials, and even outside of that there are those who love to experiment with what can be made possible. Ive made pens from denim, leather, dead twigs found on the ground, glitter nail polish cast under resin, even a photo cast under resin.
One technique tried is to mark the wood with colored sharpies while spinning after the final sanding for a rainbow effect.
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