Fred,
The first thing you need to consider when making segmented pens is the music you plan on listening to. This will set the mood for you as you draw a design you would like to make. Then choose your wood types and try to figure out the cut pattern to reproduce you desired design.
Now stop for a second and listen to the music.
Start cutting with your saw of choice being very careful. My saw of choice is a compound miter saw.
Remember that on more occasions than not you will need to cut and glue and cut again to create what you desire.
Here is a link to a tutorial I wrote for one of my designs: http://www.woodpenblanks.com/Tutorial/MorningAfterTutorial.pdf
Most important thing is to be very careful, enjoy the music, have fun, and enjoy the feeling as you admire the finished pen for the first time.
If you have any questions please feel free to let me know.