Well unfortunately Gimp doesn't have a shapes tool like Photoshop does. (at least not 2.4 that I have)
It won't look perfect, but what you can do is use the paths tool to draw an arrow, and then hit enter to complete the shape and turn it into a selection. Then you can use your bucket fill to fill it in. if you make a new layer first, you can easily move it around.
Hope that helps.