Lou,
I've made 5 or 6 Al.pens. I turned and sanded with wet/dry to about 2000 grit. Polished with white diamonds...do not buff on you buffing wheels you use for pens; the Al. will turn them black. I got a mirror polish; gave the pens away so I don't know how they are holding up.
On two of the pens, after polishing, I repolished with a scotch grite pad and the finish turned to a nice satin finish. The polished Al. is very slick. I have the first on I made...over year old..I post a picture of it later today.
Go to the guild photo albums and look at Mike Roux's album for inspiration. Search the yahoo group's archives, Mike gave a lot of info on how he did a couple of his pens. Quite detailed as I remember.
Also, there is an aluminum pen group...join and search the archives for some info:
http://groups.yahoo.com/group/aluminumpen/?yguid=145039702
Also, I've been told that a file works well. Just run it over the spinning blank as if yuou were sharpening a hoe...IOW, do not leave the file in one place...keep it moving.
As mentioned, the tools and stock get hot...take small bites and go slow. I glue in tubes just like wood blanks, but don;t guess it is necessary.
Give it a try...it is fun.
Do a good turn daily!
Don