Its really not much more difficult than turning wood. The hardest part, as has already been mentioned, is drilling the hole without breaking through the side. I first cut pieces about 1/4" longer than the tubes. Then I chuck each piece up between centers and turn it somewhat round, so that when I put it in my pen drilling vise, it will align with the drill bit. At this point, you can shift the vise around on your drill press table to drill the hole closer to the side that is most interesting. That way, you can possibly get some "bark" on the finished pen, which makes it more attractive.
I use thick CA to glue the tubes, but other glues will work, too. If you are using a very thick piece of antler, the core will be quite porous, and using poly glue (Gorilla Glue) might be better. But then, you have to wait overnight for the glue to dry.
One thing I've noticed is that CA sets up faster when inserting tubes into antler than it does when inserting into wood, so I make sure to insert faster. You can insert the tube, spray the ends with accelerator, and then trim the ends and commence turning the pen; no reason to wait for the glue to cure, since it already has.
I add the 1/4" to the antler segment before turning because the drive center can chew up one end if you get a catch when initially turning the segment round.
A pen mill works very well on antler. Some people apply thin CA to the ends after using the pen mill, but I haven't found that necessary.
As for finishing, antler sands well with dry sandpaper. The dust stinks and can be an irritant to your nasal passages. I find it also irritates my skin, so I try to use surgeon's gloves. Of course, everyone has different sensitivities - you will probably learn soon that you have some you didn't know you had.
I usually sand to about 220 down to the bushings. Then I use a paper towel and coat the segments with thin CA. After it dries, lightly sand and repeat. When you get very far from the into the interior of a piece of antler, it becomes porous, just like a bone, so you need to sort of fill in the roughness, since a smooth pen is more pleasing to hold. It is my experience that the prettier antler pens are those that are made from larger-in-diameter pieces. Elk antler, especially, has some wonderful color inside - lots of blues, greys, and purples. Of course, you don't then have the bark.
After you are satisfied that you've smoothed out the porous parts enough with CA, finish with micromesh or plastic polish. The latter turns to a powder when it dries, and you may find small white specks of powder in any voids in the surface. I use a small brass brush to clean these out, but a toothbrush would probably work as well.
Don't be afraid to turn antler. While sharp tools help, you can make do with duller ones without fear of catches, after the segments are round. In that regard, antler is easier than some woods, and certainly easier than acrylics. Of course, dullish tools will slow you down.
The smell is similar to what you smell when having a tooth drilled. I use the same respirator I use when turning any wood, and it works fine.
Don't bother trying to "clean up" the antler before you start. Nothing is there that is going to contaminate the finished pen.
I suggest copper or pearl silver fittings.
I don't mean to imply in the above that anyone else who posted is doing something wrong. This is simply the method I use.
Best of luck.
Joe
