I turn a lot of celluloid from CSUSA and have very good luck with it. Drill medium slow and clear chips a lot. Try to keep the bit cool, I have my DC hose close to pull the chips away and it helps just enough. I personally take the blank to the disk sander when it's ready to turn, and knock off the sharp corners before I start turning it. This just seems to help keep the initial blow outs to a minimum. I learned to be carefully when turning the ends near the bushings. Thats where the few blow outs I have had tend to happen. I like to come into the ends real easy and watch my angle. If you get a catch, you may cause a blow out. Slow and easy and get to know the material. Feel it through your tools. I use a 3/4" and 1/2 gouge for most all the job. Maybe a skew to get the final fit before sanding. And I learned from all these folks,,,,, Wet sand, wet sand, wet sand. It improved my finished look tremendously. It can be a little messy at first. Just put down a towel and dip your paper often. You will quickly learn a routine and grow to love the results. I wet sand all the way up though 12,000 MM, then use Hut's plastics polish. Then finish it off with Ren wax.
Jump in and have fun, you'll like celluloids.