I've seen plasticene type modelling clay in the quid shops so cheap enough, one thing I do after plugging the ends before gluing is wipe the tubes with rubbing alchohol / water mix ( isopropyl ) to take of wax from fingers and at the ends from the plasticene.
Just looking back in general if the blanks are squred off properly the tubes sholdn't be able to spin loose as the bushes are in contact with the wood or acrylic of the blank. One issue when using a pen mill is that it can leave the tube fractionly proud of the blank in which case spinning makes sense as the bushes would be pressing on the tube only.
I never round corners of blanks either, as its easier to take them off with a roughing gouge or skew, just need to be gentle.
Bob
ps. isopropyl is one of the best general cleaners I've ever bought, I use it around the workshop for all sorts of things and it goes a long way.
pps. I don't trust CA glue so only ever use polyurethane on wood and epoxy on acrylic, antler, corian etc.