Are you using a revolving point at the end of your mandrel or are you using a mandrel saver on the tailstock?
If you use a mandrel saver then it must go over the smooth metal and not just the thread else it will wobble. If you are using a revolving point then first check that the hole for the 1/2 MT is clean and sanded down then check for excessive pressure (it is the thread nut that should tighten up and not the tailstock) Equally, if on first use you pushed the revolving point too hard you could have created a secondary dimple in the cup of the mandrel!!
Finally, if it continues check with 2 drive spurs in the headstock and tailstock that their points are perfectly aligned ie 1 mm out is not allowed .
Then at the end of the day whilst turning your pens, if the same problem continues do a 'Walter' and just before finishing, turn the bushings in the tubes 1/4 turn on the final cuts until all is round (at least that's what he told me 3 years ago!!)
PG