Selecting the right piece of antler is critical. Some people like tips that will make a nice hard and white surface, I feel that beam pieces make more interesting, and better selling, pens. My choice is always gnarly porous beam pieces. Fill them with CA 2-3 times as you turn them if necessary. I've made several hundreds of antler pens and those from beam stock, exposed bark and unusual coloration are always what sells best.
Drilling is a challenge but turning them round before drilling is not necessary. Mark the desired entrance and exit locations and drill a starter hole for each. I mount a drill bit in the headstock of my lathe, hold the antler piece with a large pliers, and use a live center in the tailstock quill to push the antler into the bit.
Some people claim they smell, if the antler is good and dry it won't smell as much. Definitely use a dust collector.