Splint, I grabbed cholla canes that were under ¾ inch diameter (which is most of what grows up here). So on pretty much all of these, I turned away most of the branch to make a pen. Give the pencil cactus a try, and let us know what you find!
Wikipedia says pencil cactus is a kind of cholla, so I’m guessing you’ll find similar bones if you go check out a dead one. I generally try to let nature clean my cholla bones as much as possible before I harvest it. Means less messing about with stabby bits.