A Bic pen, or similar pen with a removable ink/tip. Do not use a hard plastic one; it combusts
Sculpey clay
Clay tools (toothpick, hands, etc)
Oven
What you do:
Remove the ink/nib from the pen. You don't want that exploding in the oven!
Decorate your pen with sculpey clay
Make a "holder." Use the pen to shape it, but make the whole extra-big, twice the size as needed.
Bake according to clay instructions
Cool
Put some unbaked clay into the "holder's" hole. That will let the pen stay put much better.
Insert the ink again
Use until your ink runs out; pull out ink and put more in!
These pens are remarkably sturdy. I've made around ten of them; the three above are the ones I haven't given away. The pen on the far left was my first ever. I made it five years ago, and its still holding up. It has a slight crack because I put a chair leg ontop of it one time, but still works. The middle was about three years ago, and I just made the right one a few months ago. Its much prettier than the picture makes it look.