I made some a year or so back with a Veritas 3/8" dowel maker mounted on a jig I built. I then made a jig for the nock and point tapers on my belt sander.
Here is the Veritas jig
BeltSanderTaperJig
Cut whatever board you want to make arrows out of into 5/8" square blanks on the tablesaw. Cut them couple inches longer than finished shaft.
Put end of blank in adapter chucked to a drill and spin thru the Jig
You can then take some 150grit sandpaper and sand it while it is spinning. Simply cut it to length and sand tapers on the ends with the belt sander jig. I then take some 200grit paper and sand with the grain. I use a wipe on finish then fletch.
They shoot really good and the type of wood you use will dictate weight. The Walnut ones are heavy while the Cedar is light. Make sure you start with a board with as few of knots as possible. Knots and shafts dont work real well!
I still have all of these tools put up somewhere as I quit making them (use carbon now) but hopefully you will see an easy, cheap way to make arrows if you have some basic woodworking skills.
If you have the tools, the jig was less than $50.00. Just make the jigs and get after it!! I was making finished shafts from start to finish quicker than I could believe!! That Veritas jig zips the fire out of them.