Bic stick pens were very popular for a long time. I'm not sure they still make them, though - I have about six boxes full - they were 99cents a dozen when I bought them. They don't melt. Some store brands are the same plastic - but I suggest trying one or two in the oven first (take out the inner workings before baking) as some will shrink and warp.
I strongly suggest going with slightly ($3.75 each) more expensive pen kits from Boston Clayworks or somewhere similar: http://www.polymerclayprojects.com/AmazingTwist.htm
Because they produce a MUCH nicer finished pen.