What Woody said
I can't speak with the same authority when it comes to pens and I have absolutely no experience of the black art of casting your own but my day job from many years ago provided me with a plentiful supply of offcuts and samples of most of the commercially available semi-finished plastics in sheet, block, tube and rod forms and I have over the years worked with as well as turned virtually all of them.
Like any other material you work with they need techniques to suit, after all you wouldn't turn a block of pine in the same way as you wood a piece of lignum vitae wothout coming to grief.
Plastics have different hardness, resilience, melting points etc and in normal working they aren't especially hazardous, certainly no more so than many hardwoods unless breathing in sanding dust which you shouldn't be or burning in which case sharpening lessons are desperately needed. Even burning won't harm anyone unless breathing in a lot of the fumes and burning a corner of an unidentified bit of plastic is often the surest way to determine what it is by the smell it gives off. You need a practiced nose to do that.