I have turned many pens, but not out of corncobs. There are two methods, buy stabilized cobs that already have the risen impregnated into the cob. Or use a regular dry cob. Then coat it in CA, superglue, turn a little, more CA, more turning, more CA, more etc. There is a picture in this tutorial below.
Winton
http://www.penmakersguild.com/articles/corncobpen.pdf