Here are a couple of forum responses on the topic:
The second one is quite lengthy; if you skip halfway down the page, you'll see a suggestion for how to use the Donut Auto Shape to speed up the process.
I created the following circular arrow by drawing a circle, converting it to an open path using Commands > Paths > Open, and then adding arrowheads using Commands > Creative > Add Arrowheads. The Add Arrowheads command features a number of alternative arrowhead shapes. After running the command, you can ungroup the results and manipulate the component paths any way you like. You could even store a preferred arrowhead shape as a symbol.
The command that I used to convert the circle to an open path was from Trevor McCauley: