Okay... I have discovered how to hold a red pen and a blue pen in one hand so that when switching between heading colour and writing colour you don't have to pick up a new pen. I discovered this in Economics about two weeks ago and since then I have been improving my technique and I believe I have perfected it.
Here's what you do:
Firstly, your secondary pen (usualy the red pen) should be held like you would usualy hold a pen. About 3/4 of the way down the pen should be resting on the bit between your thumb and your index finger, and your thumb and index finger should be aplying pressure to the head of the pen and the head should be resting on your middle finger. Like this:

Okay, so here's the tricky bit:
Next, you need to get your primary pen and (whilst still holding the other pen) push the back end of it through the gap between your middle and ring finger and then continue to push it so it goes under the first pen and pops out agian between your thumb and forefinger (but underneath the original pen).
Now you are holding two pens in your hand and they should make an X shape. The first pen you had should be in the orthodox writing position and your other pen should be pointing off to the side. So, at the moment you can write with the first pen, but writing with the seccond would be quite difficult. What you need to do (and it takes a bit of practice) is to flick the first pen up so that it is resting between the index finger and the ring finger (right at the base of the fingers) and flick the seccond pen down so that it is in an unorthadox writing position with your middle, ring and thumb fingers doing the work of holding it in place.
Once you have mastered the 'flick back' then you can switch between pens faster than ever. You'll be the coolest kid in the class!