You could use a varnish or poly finish. I use aerosol versions and spray a small section of my white socks that aren't in service anymore and then wipe it on with the piece turning. It dries quickly. Put on several coats. Just prior to doing this, blow off any dust on the piece and while the lathe is running, burnish the piece with a clean cloth, again the old sock works well. This tends to smooth the piece a little more after you are done sanding.
On a couple of my pens, I sanded them to 12000 grit so they basically shined on their own. For an experiment, I used mineral oil for finishing. It provided a nice shine and although it takes about a week to set in, it kept well.
As the pen is used, the mineral oil may diminish a bit, but it's replaced with the natural oils from the user's hand, which keeps a pretty much steady gloss. It won't gloss quite a mirror like as wax, but it keeps up well and is a good alternative for people who prefer a pen without wax finishing.
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