I agree with Ryan; if you're going to use poly glue, wear gloves. That stuff stains forever! Okay, well more like a few days. Anyway, from what I've seen on here, the Gorilla Glue gets pretty consistent praise, while ProBond (the Elmer's version) and TiteBond don't quite get the same glowing response (though, to be fair, not everyone is fond of Gorilla, either). I've only used Gorilla as far as the poly glues, but have had pretty good results. Every now and then I slip back to old habits and try CA, but I just don't get the same caliber joints that I get with poly. I did some early on with epoxy, too, but had some issues with those. The issues were probably my fault, and due to not properly measuring the components, not sanding the tubes before I did the gluing, not cleaning the inside of the blank before gluing, etc., but I'm still a little leery of expoxy, especially since poly is so easy to use. Here's what I have started doing on my blanks:
1) drill the blanks from the "middle", this way the grain lines up better for grainy woods
2) put on rubber gloves
3) clean out the inside of the hole with denatured alcohol (DNA) to get all the dust out of the hole
4) rough up the tube with some sandpaper
5) wipe off the tube with a paper towel that has some DNA on it (gets any sanding residue and hand oils off the tube)
6) wet the end of a cotton swab (e.g., "Q-tip") with water and rub it around inside the hole in the blank
7) cover the inside of the blank with poly glue; not super thick, but enough that everything is coated evenly - I use another cotton swab for this
8) put a coating of poly on the tube; again, not REAL thick, but thick enough that everything is well covered
9) breathe on the tube with a warm a breath as I can muster (warmer breath has more moisture in it)
10) slide the tube into the blank, starting from the side that is the "middle" of the blank, this way I can be fairly certain that the tube is inserted just enough so I'll be able to square it up, but not so far that there will be a big gap in the grain
11) let this sit at least overnight, and preferably at least 24 hours
12) clean out any gunk in the tubes (just got some "baseplate wax" from Arizona Silhouette that should help with this step in the future) and square off the blank using a pen mandrel
13) ***This is a new step I plan on adding*** - add a few drops of thin CA glue to the ends of the blanks, near the tubes, being careful not to get any in the tube
14) turn to desired size
The reason for the water covered Q-tip and breathing on the tube is that poly glue needs water to set up properly. It doesn't need much, though! In fact, some people here have suggested that breathing into the tube will give sufficient moisture for the glue to set up, and that in fact the water covered Q-tip might make the hole shrink up too much because the wood inside will swell. I haven't had that problem (though I've only done about 12-15 pens this way), but I do see how, at least in theory, that could happen.
I hope this helps!