Kevin has a valid point of everyone doing what works for each. Steve and Kevin are both right in doing it each way for the glue they use which is the KEY everything here centers around. Many types of glue will do the same thing, however the type of glue will dictate how you clamp it up (or better yet how NOT to clamp up). If using epoxy and leave the mandrel in until dry, you're almost guaranteed to end up with a mandrel with a nice cork handle. If you're using a glue that can be broke free of the mandrel then leaving the mandrel in should work.

I made a this jig out of a 6' of 1x4 pine, 2 dryers clamps and a handful of drywall screws. The 2 supports(the R2D2's) on each side of the cork, are not mounted to the base and have bronze bushings in the through-holes. They can be pushed up close to the nuts before turning, however even this far apart there is no play when spinning.

It's not the perfect setup, and it's not ideal for production work if you do as many rods like Steve and Kevin do, but it works just fine for me. The Mandrel is a piece of 1/4" x 24" all-thread. I use Pliobond to glue the cork, add fender washers on each end and 2 nuts on each end to lock against each other and let set overnight. Lock the mandrel in the drill and turn, works like a charm (for me). Although I have not tried it with epoxy , I'm not so sure the cork would come off cleanly. The best feature I like about my jig is that I can grab an extension cord and take it outside if I want.

If you have a 1/2" drill and some ingenuity, It should not be hard to come up with something to hold the drill and support the mandrel. Doesn't matter how crude or fancy it is as long as it works for you.