What I usually do is right before I get into my finish coat, I sand up to 1000 grit, nearly giving a polished appearance to the wood.
Then, while the lathe is spinning at low speed,
I apply rubbing alcohol. This evaporates pretty fast, stripping the oils and a little water out of the surface of the wood. Then, I apply Minwax Stain and Seal "natural" color, and while that's still wet, I apply a coat of CA. I don't spend more than 3 seconds with the applicator against the wood. Any more than that and I risk the applicator getting glued to the pen barrel.
After applying 6 - 9 coats of CA, I then begin my wet sanding, starting with 1000 grit to knock off any ridges that may have formed. Then I sand "with the grain" with the lathe turned off. Then I jump to micromesh pads (I get them from Hobby Lobby), 3200 grit, wet .... followed by turning the lathe off and sanding "with the grain" again. As I work my way up to 12,000 grit, every 3 pads or so, I stop the lathe again to sand "with the grain".
Finally, I apply some Meguiar's PlastX and buff at high speed .... I leave the lathe spinning at high speed while I follow up with a coat of Turtle Wax Hard Coat and buff it to a glassy mirror shine. The results look as though the wood was encased in glass.
Keep in mind that if you are looking to get results like mine, you'll have to follow my entire procedure step by step, taking no shortcuts or deviations. Certain substitutions may work well, like swapping out my minwax for some danish oil, boiled linseed oil, walnut oil, or what have you ... the brand of superglue used can also be changed up, as I just use the cheap stuff I buy at Harbor Freight in the 10-packs. If you have One-Step plastic polish, you can swap that in to take the place of the PlastX. In fact, they're both made by the same company.