Find the "
Arrowheads.ai" file - It's in the Illustrator/Support Files/Resources folder, but it's probably quickest to just search for "
Arrowheads.ai"
Create a duplicate / backup copy of this file because, you know, stuff happens
Open up the
Arrowheads.ai file in Illustrator
Open up the Symbols palette (Window > Symbols)
In the Symbols palette, duplicate any existing arrow head, it will be incrementally numbered automatically
Double click the new symbol
Make the required changes to this symbol to create your new, custom arrow head (only change the head, not the outer box or the line)
Save and close the arrowheads document
Restart Illustrator (it seems to require a restart for the changes to take effect, not sure why)