Andy,

Making them yourself takes a little time to perfect. Premium Port Orford Cedar is fairly straight and easy to work with. Being your first recurve I would suggest buying a spine kit. It contains 3 to 6 different spined wood arrows. That way you will be able to tell what the exact arrow you need is. A recurve usually likes a heavier spined arrow. So instead of buying a dozen shafts that aren't spined correctly you will know which ones to buy.

After that you can follow directions from;

http://www.stickbow.com/features/index.cfm?feature=arrowmaking

It gets pretty simple after the first few. One piece of advice though, you don't need to buy all the dip tubes and special cresting paints. You local hobby shop will have every color paint you need and a smooth brush will take the place of a dip tube.