Dave,
I have that problem a lot and it's either my lathe, or my mandrel. One option I've heard, once you've turned the pen, is to put it back on the mandrel and rotate it 90 degrees, several times, while sanding, or skewing it. That makes it much less out of round. As for the problem, a rather inexpensive fix, if you know it's the head or tail stock, is to ream it with a morse taper reamer. I bought one just in case. They're about $30.00 unless you get it on sale. I say rather inexpensive, because it is much cheaper than replacing equipment.
There are probably a thousand people here who know more than I do about penturning, so hopefully you'll get more advise.
Merry Christmas,
Rob