Secret: You use pens which have caps which have that long 'clip' (the clip used so it won't fall off your breast pocket.)

Before you give them to the audience member, make sure the 'clip' is pointing directly towards the words on the pen itself. So after he/she uses the pen, there is an extremely high possibility he/she won't recap the pen the same way you left it.

Then, you make any excuse you are comfortable with so you can have a brief examine of each colour pen. The pen he/she used won't have it's 'clip' pointing towards the words on the pen.

NOTE FROM THE MAGIC TEACHER: This is a great variation of the trick from the movie "The Illusionist". See also the Mental Coin Routine on this site.