Out of curiosity I fired up my old copy of Illustrator CS2 (v12) to remind myself how arrowheads were applied.

It seems arrowhead sizes are scaled as a percentage of the line width.

Once drawn they can be changed by double clicking 'Add Arrowheads' in the appearance panel (1), then the scale adjusted in the 'Add Arrowheads' panel (2).

Click image for larger version. 

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Maybe draw all the lines first, then add arrowheads.