In this poster recently done I used the pathfinder tool in Illustrator to create the arrows. To use your pathfinder tool:
First draw two shapes that you want to join together.
Then go to windows –> pathfinder and click on it.
Your pathfinder pallete will open up. Overlap the shapes and select them both. In your pathfinder pallete select add shape area then hit expand. ( now it is one shape)
That is how you use the pathfinder tool. Play with the other functions in the pallete to create other shapes.
To make the arrow look 3D I use the 3D effect. Check out the 3D tutorial.