I used bear grease for a finish on the yew bow I hunted with this year. All I did was hand rubbed it and the friction of that heated it up. You could also start with warm shafts so it will penetrate better. If you are not tying on your fletching you will want to fletch first or the glue may not stick.
I use pine pitch varnish on primitive arrows. Just dissolve pine pitch in denatured alcohol(or Shannon's mouth oil), strain it through some cloth and it is ready to use. You will want to start with hard, dry pitch. Pat