iv'e seen the same thing and thought about it for arrows too, no reason it wouldn't but Pat B sums up the cons pretty well
though i did come across a reference to a guy shooting them out of a compound with no problems so maybe if you had a large shelf it would be safe.
i think that thin leather is the better alternative fletching material for arrows, from what iv'e read they get attached the same way with a shallow groove cut in the shaft and then gluing the leather in.