Definitely some trade-offs when working with very resinous pines . Kind of prefer no finish myself , because I love the smell . Grain around knots , and even into the pith , can be gorgeous on any pine I`ve tried .
I"ve turned a couple of pens and a few bowls out of heart pine and fat wood. resin builds up during sanding. What I do is wipe it down with acetone between grits. And I agree wtith Wayne, no finish. It polishes up beautifully with all of that resin.
Turn with very sharp tools; love the smell and the look!
Depending upon what the grain looks like, consider also crosscut or diagonally cut blanks.
I finish using acetone followed by CA—hand oil on a friction finished pen usually becomes muddy looking.
I have a few of these in my album.
The bottom pen in this photo is fatlighter: http://www.penturners.org/photos/images/3231/1_NicWalnut_Fatlighter.jpg