And so i did... and here's how (it is so easy!)
I create the tip of the arrow using Web Dings 4 in black.
Its a good idea to make the brush relatively large from the start. While you can re-size it as a brush, like any image, it will get pixelated if you go from small to large, versus going large to small.
Next i draw the back of the arrow, using the straight line drawing tool. It takes a little adjusting to get it right, but once it is created, select Edit > Fill Layer and fill the selection with black.
Once the basics are created, 'simplify' the text in the Layers Palette and merge all the pieces of your brush.
To make the actual brush, select your image, then go to Edit > Create New Brush
Here is where you will name your brush.
The numbers under the image reflect the pixel width of the brush... again, you want to go larger here, rather than smaller.
Finally, select the brush tool, choose 'Brush' in the brushes menu and scroll to the end.
Here you will see your new brush!
Its that simple!
As you can see, in the brush control you can change the size, color, opacity... like any brush.
And you can turn just about any black and white image into a brush.
Go on, have some fun! I think i will try to make a brush out of my son's face. That would be fun!