Thanks guys - appreciate the input from you all.
Some follow up comments/replies:
Yes my turning tools I'm afraid are crap. They're 'Am Tech' which is one of those generic brands where you see the same cheap tat parading as various brands.
I knew when I bought them they would be pretty rough, but 1) I just wanted something cheap to get stuck in with, and 2) I always believe that you can't fully appreciate the benefit or what you really get from decent tools if you haven't first done the same job with cheap ones. I don't mean every single job you do but I'm sure you get the idea. Which is why I'm very grateful that I'm fortunate enough to have pretty decent tools for the most part, just not for wood turning. Yet.
I've already ordered a 'Faithfull' 20mm roughing chisel which is the first upgrade. I know many people state them as bad tools too but nonetheless it'll be a big improvement over what I currently use! :D
Yes I think I am using the chisels too far instead of starting the sanding phase sooner. I'm awaiting more supplies of sanding strips on rolls, instead of the little bits I'm trying to currently use. Will make life a lot easier once I have them.
I think some staining has happened from the emery/sandpaper. Not sure as well if the meshes when I use them and they touch the mandrel bushes might be dragging tiny bits of stain from the bush metal?
Finally, I have got some sanding sealer which I understood was meant to act as a sort of filler before sanding for filling in bits like this but I suspect I have the wrong product as it doesn't really seem to work that well.
This is the stuff I bought (except it came with a screw cap). Any thoughts on this, ie is there a favoured type/brand for a sealer/filler product?
Either way, I'm going to try some bits of scrap and try to get them how I want finished, instead of stupidly actually making fully done pens and then not being happy after the fact!!!
Every day's a schoolday eh! 
