Some wood might respond to oil by becoming more flexible but I don't know for sure. Osage and juniper have oils that help preserve the wood but I don't know if their oils also increase elasticity. They probably do. These two woods would probably benefit from a hot oil "bath" but I can't think of any others right now. Oil or fat soaked into the wood will also add weight, so you might want to think twice about doing it.
Look up "heat tempering" to get more info on heating shafts to strengthen them. It does work but it's an advanced technique that takes time to learn, IMO.
Grooves or wax do not add strength, IMO.
The strongest arrows are made out of strong wood: like hickory, bamboo, ipe, etc.