I got the mini lathe from harbor freight ... cost me 109 after tax (25% off coupon while it was on sale during mother's day weekend).
Beyond that, your list looks a lot like what I've got right now ... but I have the 1inch by 30 inch belt sander combo with 5 inch disc sander ... (took the disc off, I have a buffing wheel there now) This works great for tool sharpening and maintenance ... also faces my barrels and works like a champ. cost - 50 dollars with coupon
I got the harbor freight tools (online ONLY) 3-jaw chuck. I use that for drilling on my lathe. cost was around 34 dollars, with shipping
I do just fine with the harbor freight sandpaper, though it will gum up fairly fast on some woods. 10-pack for 3-5 bucks
I got the 15 dollar version (3/8ths) #1MT jacobs chuck from PSI. I probably should have held out for the 30 dollar 1/2" version.
I also picked up the #1MT Mandrel Saver with mandrel from PSI .... great combo, no bent mandrels for me ... 30 bucks.
For finishing ... I stopped off at Hobby Lobby and got their micro mesh finishing pads (model making section) for 10 bucks ... one pack does 20 - 30 pens all right. My final finish is with a car polish product ... Meguiar's PlastX ... topped with Turtle Wax Hard Coat. wax was 5 dollars, PlastX was around 8 dollars for 12 oz
Still have and use all this gear .... but as you already mentioned, I'm still just getting started!
I still don't have a 4-jaw chuck.
To your list, you should include a drill press vise and clamps to secure it while drilling ... pick one up from Harbor Freight for around 16 bucks and REPLACE THE STEEL JAWS WITH PLASTIC ONES so that you can grip and drill things like deer antler and other odd shaped items. I happen to also use this as my pen press .... works like a champ!
I have the Harbor Freight Bench Top Drill Press (xmas gift, with the 28-bit Ti/N set)... one of these runs about 60 dollars. The bits were around 20 dollars with coupon.
Other things I have managed to pick up lately .... a HFT Table Saw and a 10-inch mitre saw, a wet-cutting 7 inch diamond blade tile saw. The table saw is essential if you want to safely rip stock boards down to pen blank sizes, the mitre saw is great for cutting your blanks to rough size fast. They are also pretty much essential tools for any standard wood shop, if you want to build ANYTHING for yourself, so they're a great buy wherever you get yours. The table saw ran me 130 dollars (with 25% off coupon and 2 year replacement ... I knew I was going to throw some wild and crazy *#$& at it... the mitre saw was another xmas gift, was probably around 90 dollars with coupon)
The wet-cutting tile saw isn't so much for woodworking as it is for cutting up my stone for when I want to make alabaster and other stone pens. It's not essential unless you plan to do that kind of thing. I paid 65 dollars for mine, with 7 inch diamond blade (doesn't come with a blade, it's 22 dollars)