OK, there's good news and bad news... the good news is that you can make your own arrows... the bad news is that for a while... a good long while... you're not gonna save any money... in fact, you may spend more just learning how to make all the stuff you need to make them. You will also spend a good amount of time to learn how to do all of this...
I shall illustrate...
Crafting arrows will first require that you make arrowheads, shafts and fletching. None of these are simple combines meaning each of them will require 2 or 3 steps before you actually see the item you need.
For example, to make an arrowhead, you need to take a raw metal resource, (lets say a cluster of tin), and turn it into a tin bar. To make each tin bar, you will also need fuel and a chemical compound. The fuel can be purchased from an NPC but the chemical must be made or bought from another player. Next, you need to take that tin bar and make it into an arrowhead. (This will require another chemical and more fuel.) Do this 10 or 20 times and you're ready to move on to the 2nd step.
The 2nd step is the shaft. for this you will need raw wood resourse, more fuel and another chemical which can be combined to make a piece of refined wood. This refined wood can then be combined with more fuel and yet another chemical to make a wood stave. Do this 10 or 20 more times and you're ready for step 3.
Step 3 will be where you make the fletching for the tail end of the arrows. Using roots, you will combine them with fuel and a chemical to make yarn and then combine the yarn with fuel and our old friend the chemical to make a fletching. Do this 10 or 20 more times and you're ready for the final combine(s).
Step 4 is where you combine the arrowheads, the shafts and the fletchings together to make arrows. No chemicals for this step, but you will need more fuel.
If you made it this far, you will now have a handful of arrows. All together it will have taken you a few hours and you preobably could have earned more money in Thundering Steppes in that time than the arrows would have cost, but you had FUN, right???
Crafting in this game is not for the faint of heart! However, if you invest the time to learn to do it, there is good money to be made since many players have neither the patience to learn nor any interest in spending the required time in the trade skill instance.
The up side is that I typically make between 5 - 15 gold a day from tailoring and woodworking while I am off-line and/or adventuring. The down side is that to do this, I have to spend 2 or 3 sessions a week crafting the items I will sell all week.
It's your time and your choice how you spend that time in-game... me, I enjoy having lots of money!!!