In the past I have done that a fair amount. I found that going extremely slow helps, but more than that I turn it round to 1/2" or 5/8, measuring that with a 1/2" or 5/8 open end wrench as a gauge, then put it in a Collet chuck with the joint inside the collet. Works great to drill, but still go slow, backing out frequently and blowing it out with air for cooling and to get the chips out.
Yes it is a PITA to segment and subsequently turn and drill, but to me the effort is worth it in the end....or most of the time. I once made this segmented blank, and it kept coming apart...like 6 or 7 times. It was difficult not throw it....which I have in the past, and it did not do good things for the blank....I did have a blank that had more air time than the Wright Bros once tho, and I did eventually finish it.
Nice looking pen tho....good job!