What you do is take a length of Caulk Saver/Foam Backing Rod (A foamed polymer), cut it into about 1.5-3 inch lengths, toss it into the drier inside a pillow case for 45 seconds or so, pull 'em out and trim 'em up. Then you take a hot glue gun, melt a cavity in one of the faces, put a little glue in, add a BB or small fishing weight, then cap it to the edge of the hole w/ glue. Once it sets you have a home made Nerf Dart.
NOTE: This is a much condensed tutorial. Nerf Haven (do a google search) will be more helpful.