This is has been a recurring question on these discussion forums; but I have yet to read a message from someone who actually accepted the challenge and made the promotional pens in large quantities. It would be interesting to know how they did.
The questions have always had a lot replies describing the merits and pitfalls of doing promotional pens for a local business. Look through the archives here and on the Yahoo pen guoup.
Besides the problem of taking the fun out of making pens by turning penturning into a business, there is the problem of price. We can buy pens from China in lots of 100 for about $4 apiece, including engraving. Double that price to cover shipping, handling, and profit and the supplier of promotional items will provide the pens to the business for about $8. If you can compete with that price, or have someone who is willing to pay more, you are in business.
My general advice would be that, if you have to ask the question, you are not yet ready to go commercial with your penturning.