When I lived up in PA I would pen twice per week in the season. I haven't done much in the past few years since moving to SC but I do really enjoy it. Look into Sorting as well - fast paced and fewer cows.
I got a 10 year old gelding this past summer that was trained as a turnback horse. I watched him work a cow at an auction and bought him a month latter. I needed to put some time and muscle back on him before working him regularly on a cow but this spring I'll give him a try. Here's his pedigree: Lintons Hangin Judge Quarter Horse . He is pure cutting horse stock. (Picture in my horse album - Bobo)
I love penning. I go every monday night at a ranch near by mine. Its fun. I usually take my 3 year olds because its good to get them off the property and used to cows. Every once and a while ill take my finished cutting mare but I just love taking my babies out...but yes, penning is a blast!
I'm surprised that you would take a finished cutter to a penning. The rule of thumb we've always used is that you can take a cutter and make him into a penner but not the other way around. The difference in how they go into a herd and work a cow can ruin a cutter.