PM Gordy (aka sandman).
He does it for a living.
Greg
I'm not sure how much help I could be. All the advise given so far is pretty much what I would say.
Figuring out how to mount balsa wood in the lathe is probably one of the hardest parts.
Small cones (BT-5 through BT-60) a glued in wood dowel works.*
Get good wood dowels! look for Made in U.S.A! The stuff from Taiwan or china WILL NOT WORK!!! It's crap!
Use oak or Poplar (Poplar is soft but better than the foreign stuff. Apparently the foreign trees aren't very good.)
Good hardwood dowels are available from Home Depot. Hobby lobby has the crappy stuff.
2" or larger balsa can be held on a 2" bowl plate.
Use a draw knife to knock off the corners.
Cut the piece to be turned a bit longer than needed and use the tail stock until the part is round.
I use regular lathe tools, don't use the scraper type lathe tools, those just don't work.
I have a water grinding stone next to my lathe and constantly sharpen. KEEP TOOLS SHARP!
After the part is round pull back the tail stock to get the tip.
I make sanding block out of scrap wood. Glue on 40 grit auto body sandpaper. The kind used for long boards. Make 100 grit and 220 grit blocks.
Final sanding finish is from 320 or 400 grit but use a very light touch.
DO NOT wrap the sandpaper around the part being turned! You will get an oval part, guaranteed!
Balsa has very uneven density. Usually it has a soft side and a hard side so it will sand unevenly with even steady pressure. You will become aware of the density change in the wood when you cut the corners off with the draw knife.
If you are going to do a lot of balsa turnings make sure you buy extra ON/OFF switches for your lathe. This is important because you will have to turn the lathe off to take measurements. A metal caliper can do a lot of damage to a spinning balsa nose cone.
There are just so many ON/OFF's in switch and with the constant On/Off cycles the switch will burn out faster than you think and it will happen suddenly.
Basically it's just not something you can really learn by reading. Sort of like learning to dance from a book.
You have to turn the music on (in this case a lathe) and practice, practice, practice.
You will ruin a lot of balsa learning but that's the cost I guess.