I would guess that a lot of us don't have many questions how pens are made. No insult to the pen creation industry or anything, but it's a tube of ink, in another tube. The end! However, for those of you who are still curious:
The Create-Your-Own-Pen Set comes with a sheet of iron, and tools to bend it into shape. Just like a real pen? I dunknow.
[$39, Uncommon Goods]
[Via Dvice]