In addition to orienting the grain lines as stated above, you also want to have any grain/ring runoffs pointing toward the front of the arrow (viewing the shaft from above). In other words, if you hold the arrow shaft with the cross-sectional grain lines running perpendicular to the string (parallel to the ground), you should be able to see the grain/ring runoffs as < or > shapes on the top and bottom sides of the shaft. You want these runoffs pointing to the front of the shaft when viewing the shaft from above.
The reason for this is that if the shaft breaks during the shot, it will likely break in an upward direction (away from your bow arm). If the grain/ring runoffs are pointing toward the back of the arrow (viewed from above), the arrow is more likely to break in a downward direction, and could hit your bow arm.