Well actually that all depends on the type of material your pen is constructed of. If its plastic then i wouldnt do it unless you like the taste of burnt plastic and the serious problems it will cause your body. If your just looking for a new way to smoke try constructing a Gravity bong its very simple conserves alot of weed is safe and gets you alot higher then pipes do for less weed and all the materials can be found around your house.You will need 1 20 ounce bottle or smaller depending on how much smoke you can inhale, something that the 20 coune sits in that will hold water like a big glass of a mcdonalds cup and a small socket like maybe a 5mm one. what you want to do it fill the cup that your bottle is going to sit in with water then take a lighter and burn about 6 small holes in the bottom of the bottle about the size of a pencil eraser. Now for the tricky part, take the cap off the 20 ounce and get your lighter and get the top of the cap really hot and push the socket into the top of the cap. Now your ready to smoke. What you want to do it (with the cap off the top of the bottle) push the bottle down into the water and be carefull not to spill water, then put some weed into the socket and screw it onto the bottle and take your lighter and light the top part of the socket while pulling the bottle slowly out of the water and you should notice it filling with smoke. After you think the bottle has enough smoke in it unscrew the cap and pull the bottle the rest of the way out of the water if it isnt already and put your mouth on the part where you screw the cap and inhale. It only takes a pinch of weed and most likely even the most regular smoker will get blitzed off of less then 10 hits which will be about as much as joint. What regular smoker you know can get to thier maximum high off of one joint?
This has many benefits compared to pipes and such. One being it uses less weed due to the fact that all the smoke it trapped in the bottle and no gets away, the smoke is filtered thourgh the water which makes it a smoother smoke (Delta-9 TetraHydraCannibanol is not water soluible so you lose no high) Also, its a covert smoke because once you master how much your lungs can take you can hold the smoke in untill you blow none out and you have no smell and no one knows you been smoking

My old roomate was a hard ass cop and i smoked regulary less then 10 feet from him and he never knew it!