Nancy,
I'm working on my sanding technique, and although I don't change the lathe speed as Wayne does, I can see where this might be useful (kind of a pain to change on my lathe). I do agree with him that you'll want to explore other finishes outside FP's. If you've seen any of Wayne's pens or some of Tom Mullane's (OldGriz) more recent pens, you can see what a beautiful finish Enduro gives. I have cans of lacqor and poly in my "shop", but still haven't worked up the patience to try them; CA is my finish of choice, because I rarely know when I'll be getting out to the shop to do more work, and like to have something to bring inside and show off when the day is over.
Although that is good advice WRT sanding and finish choices, it didn't answer your question about FP's and heat build-up. If I'm not mistaken (which I may well be), many FP's include oils and other materials to help keep the shellac in a liquid form. My guess is that when you use an FP, you're heating it to burn off the other materials, and only leaving the shellac. Thus, although you're heating the wood which should, in theory, allow the wood to soak up more of the oils and other materials, you're also heating it so high that the oils and other materials burn off. So, you're still leaving the wood extra dry. The exception to this may be if you've succeeded in sanding it smooth without overheating the wood. The shellac and other stuff in the FP's may help seal the wood so the moisture can't escape.
Again, this is pure speculation, and I won't have a chance to get out in my shop to experiment for a while. Hopefully Russ Fairfield, DCBluesman, Wayne, or one of the others will jump in and correct anything I've said that was wrong.