look up wes wallace's page, go to accessories, there should be tims taper tool. Works great.
Thats if you already have a belt sander. It's a pretty easy jig to make.
I tried the sand paper jig on this site and though it worked OK, it was more of a pain in the butt to use then anything.
Another method I used on some ash when I first started was to buy a 1" thumb plane, or block plane. Draw lines on the shaft, 3 6 and 9"es.
Starting with the 3, take a very thin shaving till the hole line around the shaft is gone. Redraw the 3" line, go to the 6 and take the 6 and 3" lines off, then go to the 9" and take all 3 off. Finish sanding by hand and viola a simple tapered arrow shaft. Works pretty good if you take your time, the plane is super sharp, and you take off super fine shavings. All to easy. To sharpen it, look up the scary sharp plane blade method of sharpening, works like a champ. And you can make a jig holder just for the 1" block plane instead of buying the jig mentioned.