Well, it'll help to learn some terminology. If you are talking about housing it in a pen style host, we call it a leadlight, and many people have done it (check out the blu-ray section)
It depends on how good you are at electronics. If you can make a really tiny driver, or buy one, like the Rkcstr driver, it'll be easier. For soldering, I would say that making it fit into a pen is not much different from fitting into a normal flashlight host. Both are just about as difficult, or easy, depending on how good you are.
The only caution for making leadlights would be the wire lengths. They are gonna have to be as short as possible to be able to be crammed inside the leadlight. Hence while putting together, it is quite possible that you twist the setup too much, and end up with something snapping.
I haven't made a leadlight from scratch before, so I wouldn't know very much about it, but from what I experienced and from the posts around the forum, this is what I gather so far.