An indexer is a poor lathe. To get it to turn continuously, just give it the command to move the axis by a million degrees. That should take a while. When it stops, do it again.

As far as drilling a hole down the center of a tiny piece of wood, I'm not sure the indexer is even a good idea. You'll need an end stock that can hold a drill to start with. Then you'll have to manually move the end stock into the piece.

The alternative is to use vertical axis to bore a hole.

Frankly, a pen is probably less than optimal for a first indexer project.

Pick something that can use the potential of the indexer, like a table leg or something with curves and features. That's what an indexer is for.