Hmm... I think that's actually the same one that I have, or at least an extremely similar design. It does take a while to heat up, no heat control and the handle gets really hot like you said. I've wondered how people could do those amazing designs with something like that and then I realized that it was because the pens that the pros use are way better than that one. It doesn't help that I lost all the extra tips that came with it either, but I guess it's fine to try it out with that one instead of spending a ton on the best ones and then finding out you don't like it.
By the way, I hear this one's really good: The
Razertip woodburning pen, it's one of those but they come with fixed tips or interchangable ones. Expensive but good, so I hear anyway because I wasn't into it enough to spend that kind of money. (no connection with them or anything but I was referred to their site by a woman selling art that she made with that pen at a festival, she even wrote it down with the pen on a little wooden business card type thing)