This is my favorite part. You can use a wood working lathe and skew or make a lathe like in Catwood's Instructable
100%Homemade Lathe.( If your lathe has a speed control you will want this to be as fast as possible) For a skew I use a round tip. You could also use a gouge or a chisel. Now take your Mandrel and bushings and put the blanks on there so there is a bushing then blank then bushing then blank then bushing. The bushings are your guide to how much you turn down the wood. Remember you can always take off more but you can't but wood back on. (or can you) Try to turn as smooth as possible so you don't have ridges.
The Crown "Skewchigouge" is sort of a version of a skew, and it's easier to cut with and produces good results. It's very affordable too. I often will use just it to turn out a run of 20 or 30 pens, as it's just easy to use and cuts better than most anything except a true skew.
Also, you may want to try backing the speed down a bit. I find I have good results @ 800-1000rpm when initially rounding the blank, and 1500-1800rpm when shaping.