Unless you use carbide tools, it will dull your tools very quickly,it's like running the edge of the tool over very course sandpaper. It does finish very beautifully with CA.
Reminds me of an old turning joke that kinda goes like this. "What lathe should you use to turn stone?" Answer, "Your neighbors!" Turning sandstone seems like a good way to mess up the bed and headstock.
I have turned several pens in Sandstone/Alabaster. I didn't get near it with a tool. I roughed the blanks out on the belt sander, and then went to the lathe and started with about 60-80 grit, and worked from there.