Chris -
Try Varathane Penetrating Oil.
I have not used this material on arrow shafts, but have used it on a LOT of other stuff and find it to be terrific. I have used this penetrating oil as a sealer on almost everything that I refinish. I have used it as the finish on a few pieces of furniture and find it to work exceptionally well.
I have used MinWax penetrating stains, but always put a finish on top of them, so I cannot say how they might hold up.
If I wanted to do what I think you are trying to do, I would start with the Varathane Penetrating Oil.
Ray