I've turned baseball bats, stool legs, and chair pieces. As sjbrandt said, after roughing, begin in the middle. I then work toward the tailstock, then from the middle back toward the headstock. This particularly useful if there are thin parts of the profile in the central portion of the spindle. I don't use a steady, just my left hand when necessary and adjusting the speed. Most of the spindles I turn have profiles which make using a steady difficult or impossible, such as spindles which start with rectangular cross sections and may never have any fully rounded areas. I prefer to hold the headstock end of the spindle with a chuck rather than between centers; it is essential if the cross section is rectangular. The chuck provides a much more solid anchor and somewhat less tendency toward vibration or whipping. If you are concerned about catches, perhaps use a safety driver or steb center and turn between centers. I tend to use a roughing gouge to start smaller diameter spindles, and often a bowl or continental gouge for larger diameters. For actual shaping I use either detail gouges or skews. As for speed, it is a spindle and small diameter compared to a bowl, so relatively fast. There is no magic number -- it depends on the wood, its length and diameter, your lathe, etc. Adjust the speed depending on the quality of cut, vibration, etc. Roughing may well require a slower speed than final shaping. I can't give specific numbers since so many factors are involved (and my lathe doesn't have a speed readout -- I don't miss it). I adjust the speed to cope with the behavior of the wood and the stage of the project, so I may change the speed a number of times for one spindle.