Pen springs don't work. As you found out, they are attracted to magnets.
What you need are non-magnetic springs. QFM sells the right kind. You can also go to your local hobby shop and look for HO scale slot car pickup shoe springs.
Do a search for spring suspensions. There's going to be a lot of threads to look thru, but several mention specific brands of slot car springs that work.
DriveWRX Pretty much sumed it up. All I'ld like to add though is that it's definatly worth it. I recently put some springs on one of my cars and the handling was noticable.
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