My neighbor put DG down on her round pen, then sand on top of it. Mostly to help keep it level but it also drains water off - or down.
Ours drains pretty good. But the dirt here is really clay, it's either hard as rocks when it's dry, or slippery as snot when wet. When I break it up with the bobcat after it has dried, then what little good dirt I have blows away. It's really mostly just a good pen for slow work outs. I don't like running them hard in it, grounds to hard, and to many little rocks just spring up all the time.
Becky