Real simple: get some of those big old kitchen matches, and cut the heads off. ( I will not say what you can do with those, lest BB be listening) Take a fairly fine sewing needle and force the head end into the end of the matchstick with a pair of pliers or somesuch.
Now, take your favorite knife and split the other end a little.
Take two small squares of paper, put em' together, and slide em' into the split. Now, spread the paper pieces out so as to make an "X" shape for the "feathers".
These little dudes will stick in nearly anything,(or anyone!)and, if you use some sort of fiber-y stuff instead of the paper fletching, they make good blowgun darts as well...