I am usually able to get that stuff off my arrow shafts just using my fingers. Rub briskly and it usually comes off pretty easy. On the tougher stuff I use my fingernail.

A couple friends of mine use Woody's arrow lube and it definately does work. Especially on those tough 3D targets. Though it does have an odor to it so it'd probably be a good idea to only put that stuff on your practice shafts.