I don't sand between coats of my CA and here is my reasoning: when you sand you make sanding dust (in the case of CA very bright white sanding dust) and if you don't get 100% of that dust out of every nook and cranny the next coat will seal it in and make it a permanent part of the pen.
Here is what I do: turn the blank leaving just barely high over the bushings. Use a backing block and using 320 grit (220 if I've done really badly) sand down to the bushings with the lathe on moving the sandpaper as fast as I can left to right. Lathe off and sand lengthwise until all sanding marks from above are gone. Repeat with each of the next grits to 400. Repeat with 0000 steal wool. Remove all the dust you can.
Using a paper towel apply one small drop of BLO to the spinning blank and scrub it in (this hides any remaining sanding dust and pops the grain).
Apply two coats of thin CA each one going in the opposite direction starting at the bushing and stop adding new CA just before the other bushing (just finish off the last bit using the residual on your applicator). Hit each coat with aerosol accelerator.
Apply 2-4 coats of medium CA using the same "direction reversing" and accelerator method as the thin.
If you have done this well the bumps and ridges from the accelerator can be easily sanded out using either 400 or 0000 on a sanding block so you only get the high spots. Once you have it all even sand with the grain. Next grit, etc, until 400, 0000 steel wool, 4000 grit MM, 6000 grit MM. Now study that blank under the harshest lighting you have. If you have any signs of a "flat spot" you have gone through the CA so apply more and redo from start. Once it looks good go on to final buff.
I use three buffing wheels from TAP plastics chucked into my hand held drill. The first is loaded with red rouge, the second with white rouge, the third with Flitz metal polish. I take 2-3 times as long on the first wheel. Turn on the lathe on slow, angle the buffing wheel to about 45 degrees so that you are hitting it counter rotation (so the downward moving blank is hitting the upward moving buffing wheel. Watch your reflection and you will know when you have stopped getting shinier. Then turn the buffing wheel parallel to the blank for the final polish of that "grit". Repeat with the next two. On the parallel pass of the last one I turn off the lathe and hand roll the wheel so I get a nice slow turn.
The whole process (if I don't go through the CA) takes about 20 minutes and I would put these pens up against any pen anyone else has made using their more involved method.
Thanks to Cozee for the demo of this method.
GK