I used to buy my vanes off ebay, alot cheaper than most places like Cabelas and Gander Mountain. I can't remember where I purchased my last dozen of bolts from but they came with inserts and nocks. I have since started to use Bohning Quikfletch they are a little more expensive, but alot cheaper, easier and quicker to fletch.
In case anybody is still interested in making their own bolts/arrows for crossbows:
It appears that the popularity of the sport is resulting in more "local" shops carrying appropriate shafts, nocks, inserts, and vanes. I was able to find everything I needed within moderate driving distance. The omni-nocks, that my bow requires, even came with tiny inserts for the Bitzenberger fletching jig that make fletching the shafts very easy. My first tests show that my home-made bolts fly every bit as accurately as the commercially made ones, and I was able to tune the inserts so that the blades of a three-blade broadhead align with the vanes. Dragging out the old Bitzenburger jig was like being reunited with an old friend. This is no slam on commercial projectiles. I just like making my own.