Yep, pretty much what Jack said. All you need is a thumb plane, which you can buy at any hardeware store for around $5, some sandpaper in various grits, some gorilla glue (or wood glue would work), 3 small C-clamps and a little time. A vice helps too. Take the raw shaft..I used sitka spruce, and wittle down 2 sides of it to make a "V" at the end with your thumb plane. Start at around the same spot on each side of the shaft. You need to make sure you do this with the circle grain on top and on bottom. What I mean is wittle down the two sides of the shaft that have the circle grain. They will be 180 degrees from each other.
Then take the billet ( bought mine from 3 rivers) and run a little sandpaper in the groove to smooth it out. Now apply a little Gorilla glue to the sides of the shaft you whittled down. Slide the billet on the V end of your shaft and clamp it tight with the small C-clamps. Sight down the arrow to make sure the billet is on there straight. If not, then make it straight. Let it dry. Then when it is dry, take your thumb plane and shave the billet down until it is nearly round. Just shave down one corner at a time. Then grab the sandpaper and do the rest untill it is completely round. One trick I used here is this: take an 8 or 10 inch piece of 2x4 and cut it in half lengthwise. Then put it back together and put it in a vice or in some clamps. Then, drill a hole through it lengthwise that is 1/16 bigger than the size of your raw arrow shaft. Take it back apart and line the new grove you just made with course sandpaper. Put the two pieces back together, and put them in a vice. Now just take the nearly rounded billed end of the shaft and run it in and out of the sandpaper lined hole you just created. Keep doing it untill the entire billet easily goes through the hole. Then change the sandpaper to a finer grit. Repeat the process, and change the sandpaper to a finer grit again. When you are done, the shaft, including the billet will be completely uniform. The billet end will look like polished marble. Then just use a taper tool to put the taper on it for the point.
Make sure you allign the nock correctly with the grain of the shaft. Stain, crest, seal and fletch the way you normally would and you are good to go!