I have never tried this, but have intended to for a couple of years now. This was discussed several years ago on a Plains Indian message board that I am a member of. There are several historic accounts of Indians shooting flaming arrows. One that comes to mind is an account of some Comanche's shooting a couple of flaming arrows at a cabin. I don't have the passage in front of me right now, or I would quote it. The guys that I know who've tried this have been less than successful. They are trying to use only the materials that would have been available to 19th century Plains Indians. There is a guy who claims to have found an obscure description of "signal arrows" that were made by alternately rolling an arrow shaft in glue, and then gun powder. The final wrap is the inner bark of cottonwood. I have not read the description personally, but would love to have a copy to use as a guide. I have all of the materials, as I understand them, but no instructions. Maybe this spring, providing we get a little moisture on the ground, I can experiment a bit. If so, I'll post my results. In the mean time, I too am very curious about this in case any of you others might have done this.
Curtis