I must be a freak or something...
I use a bowl gouge (much like others) to get it round, then either a spindle gouge or a skew to almost finish it (depending on what is sharp - yes, I am that lazy). Then I always finish up with a skew at the end.
However, on wood I start with 80 grit (but only for about 3 seconds) then 120 etc... to 1200 before EEE. With plastic I start with 100 grit (I think??).
Why start with high grits? Because it becomes a rhythm for me. I get used to the way of finishing and going to a coarse grit paper doesn't really take any time, but does highlight ANY flaws that might be there. It is more about scoring the piece than removing much material.
I can certainly understand why people only use the medium grits to start, but I find my way is more consistent.
Just so you know, I have finished various pieces on the lathe (not pens) to an adequate finished state with the skew alone before, so it is not because I am getting a poor finish. I think it must be more that I am nuts. [
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Cam