Yes, Do be very careful collecting rose shoots. Wear good leather gloves and a heavy shirt and maybe even eye protection. You do not want the young shoots. Collect the ones that the bark has at least started graying out(2nd year growth) and up to about 1'2" in diameter. They will shrink as they dry and when you remove the bark. You also want them to be pretty dry before removing the bark or they will check(spilt).
When you collect the shoots, remove the thorns as Jim suggested, do a initial straightening, bundle them and set them aside to dry. After about a month you should be able to work them. Some folks like to periodically unbundle the shoots and straighted a bit every week or so. Also collect way more than you think you will use. Not every one will make a good arrow. There are surprises under the bark of some. Also, you want to have a good supply to last a while. My utility room has probably 100 hardwood shoots in bundles drying and at least that many in my work shop that were from the last few years. Even though I constantly collect shoots during the winter, any time I want to make an arrow I have enough, ready to work, at hand. I have played around with rose shoots but prefer sourwood shoots and also differant types of shrub dogwoods and viburnum. These are just my preferance. Rose makes excellant arrows. Pat