Drew -
The only cardinal rule is 'don't get blood on the wood' (and even that is negotiable if you prefer blood-stained wood).
Seriously, there are as many ways to finish a pen as there are pen turners. There are folks who insist that CA is the only appropriate finish, but that's just plain wrong. You can finish pens however you want - to achieve whatever final effect you want.
I've used CA and CA+BLO - but I've concluded that I really don't like working with CA as a finish, and I don't like the high gloss pasticky look of a CA-finished pen.
I've also used WOP - both the solvent-based Minwax product from the hardware store and water-based floor finish. Both are fine - I prefer the look of the solvent-based version. The water-based version is slightly bluish to my eye. Both are time consuming to use because they take time to cure between coats (1 hour for the water-based version, 4 hours for the solvent-based version).
My current favorite is a lacquer-based friction polish. Most commercial friction polishes are a combination of shellac and oil and emulate the old French polish used on furniture. They look nice and are quick to apply, but they tend to not wear well. Lacquer-based friction polishes are also quick to apply (you can finish a pen in minutes) and they are fairly resistant to wear. They aren't extremely glossy - which is fine by me because I make pens from wood and I want the the user to experience the look and feel of wood.
Lacquer-based friction polishes are harder to find as commercial products - PSI has a couple of options, and one of the name-brand friction polishes is based on lacquer (Behlens???). I make my own by mixing equal quantities of ordinary lacquer, lacquer thinner, and oil (I use Tung oil, but BLO is fine).
I tend to sand pens up to 1200 grit. Sometimes I wipe the pen with oil (either BLO or Tung oil) to enhance the grain. When I do that, I usually apply a barrier coat of shellac sanding sealer over the oil and under the final finish, and then denib with 4/0 steel wool or the equivalent Scotchbrite pad before applying the friction polish.