You want my secrets!?!

Actually, it is a process that basically does what you initially recommended, use the drawing tools. I've used this technique a lot, some of the results are quite interesting -- Visio Guy has seen my upright bass (not the fish).
So, to begin with, I cheated. I took the PPT file and inserted it into Visio, and then traced over the arrow. Basically, I use the line, curve, and pencil tools. For the longer arcs of the arrow shaft, I initially use the arc tool, in this case, I think it might have been a single arc, some times multiple arcs. Then, switch to the pencil, grab the center inflection point and drag it a little to get more arcing. Then, grab the inflection point handles and change the shape of the arc to match the arrow shaft inside edge curvature. Copy and place that arc section to form the outer edge of arc. Use the pencil to to resize, reposition end points to match the shaft so it is narrow at the head and wide at the end. Speaking of the end, go to that part of the figure. Both arc segments should "terminate" near where the end does it's rounding thing. Select one arc, use the line tool, draw a line that connects the two end points. You will eventually have to "join" these pieces. (If you really wanted too, you could have "blocked" in the entire shape with one continuous line-arc segments to avoid the "joining" process, but this figure had some repetitiveness, and I chose to do copy/paste.) Anyway, back to this "end" line, switch to pencil tool, grab the center inflection control and drag to match the rounding. (Another note, the line curvature will only match perfectly circular arc segments. The arc tool puts down elliptical segments which allow you to manipulate the curvature in all manner of interesting effects.) Now, join to the other arc segment. Switch to the arrow head, and it's basically a repeat process. You look at the arrow head, identify "regions" and draw either arc or line segments to block in the shape, then use pencil tool to manipulate the curvatures. Usually, I zoom in, up to 3000X, and ocassionally turn snap off so I can get highly precise placements of end points and curvatures. Matching transitions from one segment to the next is an iterative process of shifting end points about and playing with curvatures. Patience is a virtual here. Obviously, the final product must be completely connected to accept a fill pattern.
Hope this makes sense.

I rarely go into the shapesheet for these figures, unless I can't get the figure to close, and then I manipulate the endpoint to be the startpoint.

If you want to see the upright bass, I can post it hear, or in the marketplace, or have Visio Guy add it to the art section of the forum.

Wapperdude