This is one of the most popular polymer clay projects out there, and understandably so. It's simple to make while the payback is so satisfying: a beautiful one-of-a-kind object d'art that you can actually use and even refill. Not to mention the pen's newfound chubbiness makes it seriously comfortable to hold. It's win-win.
The only warning I have is to choose your polymer clay wisely. For this particular project, because it's a utilitarian piece and will surely be dropped on the floor a few times, stay away from regular SculpeyIII - choose Premo, Fimo or Cernit, they've got the durability you'll need.
As for what to cover the pens with, if you do canes, go crazy! I've never been a big cane girl myself (too lazy) so I just do a mishmash of clays stuck together. The pen above is a pasta machine'd mix of gold Premo, Fimo Stone and Transparent Fimo along with whatever scraps I didn't clean off my workspace.
I wad up the colors, shape it into a little sausage, slice it in half, mirror the pieces and roll it into one psychedelic pancake. The mix of translucent in there gives it depth and the whole mix is very marble-like. But that was just one pen of dozens I've made (ah, so many pens...so little time).
Another fun technique is to roll the covered pen (prior to baking) in colorful seed beads or glitter. You end up with a very cool result: texture, sparkle and even some girlyness. Fun!
As always, with polymer clay the sky is the limit on what you can do, so have a great time discovering your inner pen-maker. I bet you'll be so pleased with your fabulous new pen, it might even take some sting out of check-writing (ok, probably not). So without further ado, go make a pen!