Never had one, but I *just* finished reading an article on them in Coral & Reef USA's 2012 Annual.
Most Sea Pens are nocturnal.
Sea Pens need to be able to bury themselves - DSB
of at least 4 inches.
The substrate needs to be very fine, at least where the Sea Pen is located. Undergravel filters can help keep the fine sand from becoming oxygen depleted.
Sea Pens need alternating, strong flow that will bring food to them.
Being completely NPS, they need a consistent supply of food. The author (Alf Jacob Nilson) recommends live planktonic foods such as enriched brine shrimp, rotifers, copepods, etc.
The article is worth reading, but you'll need to buy the magazine. There is bonus content and references on the website at Coral & Reef USA 2012
Hope that helps some. Looks like you have the same species the author mentioned having in his home tank.