In the title of your post, you refer to the Pencil tool, but in the text part, it says you are using the Pen tool. Which is it?
If you are using the Pencil tool, double-click on the tool icon in the toolbox, and turn on the Fill New Strokes option. (Both the Pencil and Brush tools have this setting, and it takes precedence over both New Art Has Basic Appearance and New Art Maintains Appearance.)
See these related posts for more details:
JAMcRae, "Maintaining Appearance - not working fully" #, 30 Oct 2006 6:52 am </cgi-bin/webx?14@@.3bc21f81>
lahondé, "color of pencil tool" #, 22 Aug 2006 12:00 am </cgi-bin/webx?14@@.3bc158bd>