First off, you should never sand wood that has been stained. All you are doing is taking the stain you just put on, right back off. Second, my personal preference is to allow everything I do to an arrow shaft to dry for 24 hrs before I move onto the next process. I also wait till the end to install my nocks and points, that way, I'm sure that the stain and finish is completely covering the entire shaft. I use a waterbased finish, and have no problems at all with the stain coming off, and yes after a ton of shots into a target, I do get some buildup on the front of my arrow just behind the point, but they are just for target shooting, and I expect that.
Like Bjorn said..."Most of my arrows are for hunting" also...so as long as they fly good and hit the intended target everything else is immaterial.