You might want to check out the earlier poll, there are some interesting comments on the "Pen Boxes" poll.
I always give them a sleeve (even with boxes), and offer them a chance to purchase boxes as well. Since the customer reaction to boxes is so varied (some will buy a $10 box for an $18 pen, and other will think a $5 box for a $98 pen is unreasonable, and some just hate the box no matter what), I offer them as an upgrade (and market it as such). "Upgrade your pen with a quality display box!"