The subject is half the question; "What skill do I need?" is the rest!
I know there's a flint knapping skill if I wanted to make stone arrowheads... but what about metal ones? Should I cast them in a mould using metalsmithing, and then use a grindstone to sharpen the edges? Should I use the blacksmithing approach, and make them with a hammer and anvil? Does it automatically become part of the weaponsmithing skill, regardless of what technique I use? Does it fall under bowyer/fletcher skills?
Or is the answer "All of the above", and it all depends on which skill/approach/technique fits with the character, fits with the situation, etc?