Go slow, both in lathe speed and advancing the bit, sharp bits too. Back out every 1/4" or so. It has been debated recently whether or not to hold the Jacobs chuck with your left hand or tap it in to secure, I hold mine.
One other tip that I like is to drill into the middle side of the blank since that is the most likely grain you are going to align if a two section pen. If a blowout does occur hopefully it is small and the blank can still be used and the grain align. Hope that makes since.