If you are talking about the Strunk arrow plane, the plane blade has a curved edge, so it might be tricky to make. I have one and love it, but I did make something that worked OK before by using a 2x4 with a couple of arrow-height strips nailed on (rather than the V notch like the Strunk) and a thumb plane. I also have a 2x4 with a V notch that I use with the thumb plane (no strips nailed on) when I am using the method Jay Massey describes - square dowel, then 8 sided, then 16 sided, then sand. That is helpful for getting the shaft down to 3/8" so it works on the Strunk plane, but you could also just take it down to finished size that way.
There are also a couple of drill/router or drill/table saw jigs I have seen, but I have never used one of those. You can find plans somewhere on the Arrows part of this site.