I've used CA (or super) glue finishes for wooden pens, and it's a viable method of finishing off a project. One important property of super glue is that if you drop it onto a cloudy, smoothly-sanded clear plastic surface, it will clear up the plastic again. I learned this after watching my friends systematically destroy a pair of safety glasses.
Either way, the super glue is what will make the little window in your rocket ship clear again, and it also adds a smooth, shiny, durable coating.
While your rocket is still on the lathe, you'll want to wipe off any sawdust/chips/residue from the surface of the rocket, using some paper towels. I do this by turning on the lathe - keeping it at the same speed I used for sanding - and lightly pressing a clean section of the paper towel to the surface of the rocket, and making passes along the length of the rocket. If I pull away the paper towel, and see a lot of dust, I'll repeat the process until I'm fairly sure that the piece is clean.
Drop some super glue on a clean piece of paper towel. While the lathe is on, run the paper towel along the length of the rocket to apply the super glue until you coat the whole thing. The goal is to apply a thin, complete coat, and it may take a little practice before you can execute it well. Keep the lathe spinning for a few minutes after you finish applying the super glue. This allows the glue to set up and dry.
Turn off the lathe and remove the remainder of the blank from your setup. Be careful handling the finished piece, in case the glue hasn't fully dried. If you touch the super glue before it has dried, you'll add a finger print to the finish permanently.
Trim off the piece of the blank that was chucked in the lathe, and then sand down the remaining stem to complete the shape of the rocket. Apply a thin coat of superglue to the top of the rocket.