I generally see people using the lighter metals (aluminum, brass, copper) in pens for segmenting.
It can be paper thin foils or sheets as thick as 1/16th of an inch ... You do need to exercise additional care during the drilling and turning process, as segmented blanks have more of a tendency to blow out during drilling or fly apart during turning when you get a catch.
Many people who segment prefer the use of a skew, as it has more of a shearing cutting action that leaves a finer finished surface behind and has much less chance to catch when used properly. All I can say for this is practice, practice, and more practice, and I still have a VERY long way to go for my practice!
To help prevent blow-outs during drilling through thin metals sandwiched in the wood, it may be a good idea to VERY LIGHTLY dull a set of your drill bits, to reduce the aggressiveness of their bite. As the bit chews through the last bits of metal that are in the way, if it's a very sharp bit, it will try to force the entire piece of metal that is left into the hole behind the leading edge. This will have the effect of wedging that slice of metal between your pieces of wood and yanking it as hard as you can while twisting it down the drill bit, ripping the wood apart on the way ... in other words, a blow-out. By using a slightly dulled bit (and keeping a set of bits in that condition), your drilling will be much slower, but it won't aggressively rip through the metal and pull like that.
The same can be used for plastics that are used in segmenting, as well as for drilling thin sheets of plastics and metals in general.
If you are a fan of carbides, you can quite certainly use them on segmented items. Just keep in mind that a segmented blank is quite a bit more fragile than solid wood blanks. Take very light passes to avoid a catch.
I would suggest that during the final finishing processes, you do NOT begin sanding before you seal the wood. Fine metal particles often don't even resemble the metal they are from, especially embedded in wood. I would apply BLO or in my case, Minwax stain and seal, followed by at least one coat of CA to seal the wood, and follow with a few more coats to ensure that the pores are all sealed up before I sand the CA back down just to where the wood is showing through again. At that point, I can then start finish sanding and applying the real finish to the wood, and polish it to it's final shine.
Your Easy Wood Tool rougher is for what it was intended for ... roughing something out to round and to approximate size. It's not intended for finish work or for delicate work like segmented blanks. If you're careful with it, you can certainly do the job with a delicate touch and very light cuts, but you'ld be better off learning the proper use of a skew.