Registering a Domain When Using a Pen Name

Does anyone who's registered a domain with a pen name have any advice for me?

I'd like to keep my real info out of the whois database.

Does the privacy protection that some sites provide work? I was planning to use this, but then I read it means that I don't actually own the domain and that the company may still sell my info.

I'm looking for cheap, easy-to-use hosting and domain registration that will protect my real name, and any advice would be hugely appreciated.

Thanks, Arpeggio and Thewitt. One website warned against the privacy protection that often comes with registration and hosting, but they were also trying to sell their own product, so...

I guess the main thing I have to decide now is whether to register and host at the same place or at a separate place. Does anyone have any recommendations? I've been looking at bluehost for both.

Thanks, I'm using separate places. It's not as expensive or complicated as I worried it might be.

Thanks, everyone. I've gotten the domain registration--now to get web hosting and set up the site.