As I sand my pen with copper inlay, I'm getting a gray matter building up on the maple blank. What is happening?

The gray matter is caused by the normal sanding process. Copper dust is being sanded from the copper inlay and smeared into the adjacent maple and collecting into the grain. This generally happens when you sand under power with wet/dry sandpaper going across the grain. You can easily fix this problem by stopping the lathe and sanding with the grain. If you see this at 1200 grit and it is hard to remove try going back a grit to 1000, then sanding again with the grain. All the gray matter will sand away and you will be left with clean wood.

How do I keep my peppermill looking like new? How do I care for my saltmill? How do I clean my mills?

The best way to protect and clean your peppermill and or saltmill is to wax it occasionally with an automotive-type paste wax. I recommend any paste wax with carnauba. It is a very hard wax and wears well. By waxing your mills, the thinner-based wax not only cleans the surface  of your mill but also adds a layer of protection which beautifies and improves the glossiness of your peppermill or saltmill.