Dave,
What sanding technique did you use before you applied the CA/BLO? I did a cedar pen a few weeks ago that came out pretty good by sanding thoroughly using standard sandpaper, some Abranet, and MicroMesh. I also wiped it down a few times with denatured alcohol during the sanding to make sure the surface was nicely clean. I also followed this up with EEE, then some Shellawax. With just these steps, the blanks looked almost as shiny as with the CA. As for your question regarding the glue, my understanding, and it is only an understanding since I've only done a handful of pens (and have had 2 that I had to refinish because I wasn't happy with the first CA/BLO application), is that you want to add just enough to coat each blank without drenching it. This gets repeated a few times (3 or 4). That's where I stopped, but from what I understand if you add something like TSW on top of the CA/BLO, it will really pop.
BTW, I agree with Coach, I like the grooves. Coach, someone else mentioned using a pipe cleaner to cut grooves (take off the fluffy stuff for the part you're rubbing against the wood, but the rest provides insulation).