Yes, glycerine and water. It's not going to form easy around a tube, even the larger size tubes. That's some tight bending! I would soak the veneers for a few hours, obviously. Lets say..just to keep numbers really simple, the tube is 1/2" wide. The veneer is 1/32 wide. 1/32 on each side, means the new width would be 9/16. So you take two strips of wood lets just say 1" wide, 1/2" thick and 3" long. You sandwich the two strips in a vise. Drill a 9/16 hole down the center. Now you have two pieces of wood with a 9/16 profile in them. These are your clamping cauls. You wax the bejeezus out of the cauls, the insides and seems where they may come together are most important..johnsons paste wax works real good. You work at the wet wood bending it on the tube, making it more pliable etc. Using gorilla glue, you glue the wet wood to the tube. Gorilla glue likes wet wood better than dry wood! When complete, let it dry for several days. If you have any gaps in the seams..get some small rope, twigs, whatever to glue along the seams. Good luck.
I had a marquetry guy one time ask me to spin a cigar 1/32 undersized so he could apply a marquetry to the pen. I told him he was nuts..better off trying to glue it to the actual tube, the barrel is not only round but tapered, even if I do a straight taper, it's going to be crazy. That was a couple years ago and he still has no pen.