They lack symbionts and being non-photosynthetic, they need to be fed, and fed a lot. They prey on tiny plankton such as invertebrate larvae, ciliates and the like, so you'll probably need to start culturing rotifers if you hope to keep it alive (even newly hatched Artemia are usually too big for them). In order for them to feed, however, you first need to make them happy enough to extend fully. In most cases that involves two things: 1) proper current (these animals seem to be found most commonly in areas that average ~5 cm/s or so flow rates), and 2) very fine sand (or better yet mud) in which to bury their "foot" (this is really a highly modified polyp that provides the attachment point for the other polyps in the colony). Crushed coral (especially stuff in the 3-5mm range) is simply too coarse for the animals to borrow, and if it tries to burrow at all, it will likely cause as much damage as good due to laceration of the axial polyp. Most sea pens seem to extend fully out of the sand before burying into it completely - they like to be able to retract to within the sediments for protection and are rarely happy unless they can do this. Many species need something on the order of a full body length (and many would suggest 1.5 - 2 body lengths of the fully extended animal) of very fine sand for them to burrow and establish in this way. Given that the genera I am guessing you have average 25-60 cm in height, that means you're going to need a pretty darn deep sandbed to have any hope that this animal will survive long-term.
Now that I type colony there I realize that few people probably know that a sea pen is not a single individual but rather a highly differentiated colony... I guess I should explain what a sea pen actually is -- just in case this is news to you. They are cnidarians and along with the true soft corals and gorgonians, they are members of the Subclass Octocorallia. Pennatulacids (the technical names for sea pens and sea pansies) are actually colonies of many polyps (like a coral head) rather than a single animal (like an anemone), and there is some pretty cool division of labor among the polyps. When a larva first settles, it metamorphoses into "founder polyp" which becomes the stalk from which the other polyps in the colony arise via asexual proliferation. The colony is composed of a series of gastrozoids (the feeding polyps responsible for capturing food and nourishing the colony), and siphonozoids(respiratory polyps responsible for moving water into and out of the colony to allow for gas exchange). The entire colony is typically arranged into a bulb, which is buried in soft sediments (very fine sands and muds on the sea floor) and an exposed portion along which the remainder of the polyps are found. Both the bulb and the upper portion of the animal are strengthened by an axial rod that consists of a mixture of hard organic material (like a gorgonian) and calcium carbonate (like a stony coral), but the animals are highly contractile and can expand or contract greatly depending on conditions. The "feather-like" shape is an adaptation for increasing the spread of gastrozoids into the water column to maximize the prey capture rate of a colony while also minimizing drag in the turbulent water in which these animals are typically found. Each gastrozoid is capable of producing gametes for sexual reproduction but all polyps in a given colony are either male or female. The animals free spawn and produce planktonic larvae that develop in the water column, so reproduction in the aquarium is highly unlikely.
It's also worth noting that many of the sea pens are entirely or primarily nocturnal, and there is a reasonable chance that your pen will only occasionally be open and visible during the day once it settles into the tank. This is a double-whammy for you because you may not see it all that often and you'll need to make a concerted effort to feed it at night. I'm not a big fan of the "stir your gravel to feed things" school, but it's certainly going to do better off detritus from the gravel bed than if not fed anything. You might be better off looking into using APR (Artificial Plankton Rotifers) or the Golden Pearls (rotifer size) available from Aquatic Ecosystems Inc or Brine Shrimp Direct as a more nutritious and suitably sized food that is simple to feed...
(Basic info for anyone else who might wanna learn a bit off hand)
By:Rob Toonen
I plan on getting a tallish wide bowl and filling it with sand to let the sea pen sit in and choose a spot of its liking, placing it in fair current and will be using this nice mixture of preserved filter feeding food that is pretty much liquid dust.
My only real concern is if it will only consume living creatures but quite a few sources claim that simply stirring up the substrate is enough to offer it "some" food which leads me to believe that they take /stuff/ similar to how deterius eaters work.