I think it depends on how much weight and the profile of the arrow. In theory, yes a heavy projectile usually bucks the wind better than a lighter one. However if the heavier projectile is so large that it "catches" more wind it can more easily be blown off course.

A good example of this is rifled shotgun slugs. Sure they are heavy, however do to the slower speeds, size and shape of the slug they don't do very good in the wind beyond 50-75 yards. They drift far enough at 100 yards that it is wise to zero your scope for windage at 50 yards or so and then test them at 100 yards on a calm day, then again on a windy day to see what sort of variation you get. Where as if you are shooting a 30 caliber centerfire the heavier bullet will usually buck the wind better, given it is the same caliber weapon. You can't compare a 30-30 with a heavy bullet to a 300 win mag with a lighter bullet. Velocity also effects wind drift to a point, but the speeds have to dramatically increase I think.

I can only assume slower moving arrows would be subject to the same physics. I bet arrow length would have something to do with it as well.

Paul