I have tried doing some inlay work with a dremel, but it is really hard to control it and doesn't seem to work if you are trying to do something exact.
I have the most success when I set my table saw blade to a depth that cuts into the blank just as far as the tube will be when the blank is drilled. I then insert a piece of wood or pickguard material the same width as the sawblade cut. Once I insert it i then drizzle it with thin CA to hold it in place.
Take a look at my web site, www.imperatorpens.com and look at the classic pens. They where made with black poly resin and inserts of white pickguard.
I have done a small amount of inlay with mother of pearl. It's not as easy as it looks, but again, it's not as hard as it looks.. One of those things you will get with practice.
I use a standard jewelers saw for cutting the mother of pearl. A cutting board is helpful. You can buy one but it's simply a board with a hole in it. Much like the table for a scroll saw, it supports the piece while cutting.
Don't waste your money on a special "pump" to blow the dust away. Just go to a place that sells fish supplies and buy a small aquarium pump and tubing. That's all you need for that.
As far as the dremel goes, it can be helpful. You definitely want a router type base for it. The ones dremel makes are ok but Stewart Macdonald sells a nicer version that is more accurate in my opinion. http://www.stewmac.com/shopby/product/5260