Wood arrows are great if you start with good shafts, surewoods (fir), spruce, or cedar. Buy 1-2 dozen; 10" tapered shafts work great, but parallels will cost less. Most shops will taper the nock or point for a little more. Yes, the hand sharpener will do, or if you have a sanding disc, use a "V" shaped guide to get the 5 and 11 degree tapers.
Stain the whole shaft, or like the others suggested.
A good straight arrow that matches your bow is what you are after. It is more important than the bow.
3Rivers has some guides on line to making arrows. You will find other information from Kustom King, Raptor Archery, or any of the sponsors. The Forum for Arrows is a good place to check as well as the sponsors.
PM or email anyone that has posted if you need help.