I right-clicked one of my pentool layers (Just some pentool lines with a white stroke path) and chose Blending Options and chose outer glow as the effect and dark orange as the color, yet when I hit ok my pentool lines have not changed.

Can anyone help me create a outer glow effect on my pentool lines?

Are you sure you stroked them?
If you haven't stroked them (right click -> stroke with brush), it's just a path and isn't actually anything on the canvas yet.