I agree with all the previous posts.
Drilling can generate a lot of heat if you are too agressive or too slow. You can start to melt the swarf or the side of the hole and jam the drill. You need to drill in short bursts, about a 1/4" at a time, I do this with wood as well. Meduim to slow speed on the drill press. I've started to spray water on the drill bit and down the hole and this helps any heating problems. I also use brad point drills, when I can, as they seem to have no blowouts or only minor chipping at the hole on exit.
When rounding the blank on the lathe, I use very light touch until it is nearly round. The harder acrylics will chip more and you can hear it. Don't worry too much about it as the chips will be small and shallow (unless you're heavy handed) and will start to disappear once round.
I have found that once you get to round then most acrylics turn really well. You'll get really long ribbons of plastic and they will wrap themselves around the work piece, bushings and mandrel unless you have a dust collector on your lathe. I usually use a skew to get to near final shape and then a scrapper (lightly) to final shape.
Finishing is easy as there is no finish to apply (CA, ploy, etc) just sand wet with 400, 800, 1200 wet and dry followed by all grits of MM(wet), Brasso, car polish.
I've found that acrylics are slower to round and get to shape than most wood blanks (some burls can be a real pain) as you have to be less agressive. But they are faster to finish than wood. So it works out taking about the same time.
I'd say acrylic is no more difficult to turn than wood, and in some ways easier. You have to watch out for different things. Try it you'll like it. My first (test) pen was an acrylic, and so were the next 6
TonyO