Disney's Family Fun site shows an easy way to make your own crayons. Simply chop various crayons into little pieces, place them into a mold and bake. You can even plan the color combinations by using complementary colors, such as a pink, red and white crayon heart.
Dandee designs has a cute love bug valentine template featuring what must be the cutest plastic insects ever. Imagine the dollar store variety will work well too.
I heart sugar sugar use a pencil as well but makes the tip of the arrow from a tin foil wrapped chocolate heart and the base from a cut our felt heart.
Disney's Family Fun site has yet another, even easier pencil valentine idea. All you need for this one is a pipe cleaner, pencil and some construction paper.