I think that antipodesman is correct about taking a class. Many of the Woodcraft stores have lathe classes.
I would not suggest a class on pen turning, though. My experience is that pen turners, as a group, generally have a fairly low skill level. They have such a simple goal, that they are able to get by with dead-end techniques, and frequently never grow beyond them.
Almost all of my tenons, which I turn on a wood lathe, are made out of acrylic and go into ebonite mortices. Because the ebonite lacks the compressability of wood, I have to work within a tollerance of a couple of thousands of an inch. I have rarely seen a vice for working on a wood lathe, and looked at the tenon cutters briefly, but I like the tool in my hand. All that said, I have messed up by violating the Second Law of Woodturning*, but not too often. I turn as much of the stummel as I can on the lathe. I usually use a 1/2 inch round-nosed scraper to turn the tobacco chamber which permits me as much flexibily as I can have.
I would not recomend buying small tools. They are hard to sharpen, flex and vibrate much more than typically sized tools, and don't buy you much. I think that the smallest gouge that I use is 3/8 of an inch in diameter. I usually use a gouge for the rough work on the tenon and then use a parting tool at an angle like a skew for the final sizing.
*Second Law of Woodturning: You can take it off, but you can't put it back on.
anthony
acmewoodturning.com