talking about arrow heads like the log bodkin which wraps around the outside of the shaft, not heads like the saxon heads that have a tang. i can't see any indication of nails having been used and surely they weren't simply glued on, but i can't seem to find anything on what keeps the friken arrow head from just falling off the shaft.
The arrow socket would have been glued to the tapered point of the shaft, very quick and easy to make. Arrows were disposable so didn't need to be made sturdy. Also if the head falls off after you've shot the arrow its much more difficult for your adversaries to shoot it back at you!
Beeswax is often mentioned as the adhesive in question. The arrowhead is meant to come lose in the wound in english arrows. Heads that get stuck in bone are very likely to cause complications. Below is an article that quotes Bill, Joseph Howland, “Notes on Arrow Wounds,” American Journal of Medical Sciences, 154, 1892, p. 366.
http://allthingsliberty.com/2013/05/battle-wounds-never-pull-an-arrow-out-of-a-body/
Contrary to the claim above, arrows are quite sturdy (they need to be if shot from a +120# warbow, lest they blow up upon release or break when they hit something hard) and by no means disposable. Eastern military arrows usually have some sort of colour where the fletching (at the "head" of the arrow) is (red, orange or white), which helps to find them afterwards. They're also tanged, with sinew wrapping at the foot, which improves durability.
The shafts of the Mary Rose show remains of a verdigris compound around the fletches, which would have produced a bright green and could also have had conservatory purposes. These war arrows are quite sophisticed, basic info found here: http://www.theenglishwarbowsociety.com/tudor-livery-arrow_EN.html
Making arrows is quite labour intense. To give you an idea, you need to season the wood, splitting it down, saw to scantling, planing, barreling and sanding the shafts, putting on the feathers, glueing horn inserts for the nocks, etc.
I'm better versed in eastern tackle, so here's an article about bow and arrow prices in Qing China in 1802. You'll see that a single war arrow almost costs as much as a regular worker makes a day.
http://www.manchuarchery.org/bow-and-arrow-prices-1802
Quite sophisticated:
