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I' have thought about this, but I have to admit it was only when I was reading the TikZ/PGF Manual, which remarks that perhaps the reason arrow tips are missing from so many scientific diagrams is simply that people can't figure out how to draw them :)

So I don't know how to do it in Sage, but I'll say that I use TikZ for my quiz/exam diagrams, and maybe this would make sense for you too if you're already texing them. If you've never used it before, here are a couple of examples that I thought were particularly relevant:

• plotting functions
• arrow tips [<->]

These are probably more complicated than what you want to do -- the manual is really a very good place to start. Sorry this doesn't tell you how to get arrow tips in Sage, but maybe this non-answer will provoke someone who does know how to do it :)