I just hold the shaft to be planed between the edges of my table vice, but it is easy enough to play with a couple of lengths of wood on your bench top to squeeze/hold the shaft between - you can clamp them, use grips or screw down depending on how you treat your bench. Most of it just commonsense that comes to you as you actually have the stuff in front of you. Naturally those boards are thinner than the shaft so it sticks up allowing a full run with the plane, and maybe you will want an 'end stop' so the shaft doesn't move forward as you work it. If the plane is sharp, then it will smoothly glide along the shaft without the shaft trying to lift. There really isn't a best way except what you work out on your bench, with your tools when you get playing at this. Don't vice/clamp up too hard or you will crush the corners, just enough to grip so it doesn't move when you plane. I am sure someone else will have other ideas but I think that with a sharp tool, finding that light touch is best in all woodwork using hand-tools, it is a sweet balance you will find and enjoy as a woodworker that enables the best work, then only with power tools do you need hard clamping and fixing.
If you want to be a bit fancier, then when you get a sharp plane in your hands, vice up a board and mark out 3/16 from each side of one edge. In other words beveling the corner off, down the length. Do this with two bits and when you put them down together you will have a 'v' shaped groove where the two boards meet which makes holding the shaft in between them a lot easier and presents the shaft corners up for you to plane. Hope you can see that easily enough from my description, that way you can bevel two long edges on thicker boards and they will make a straight shallow 'v' groove where they meet up to drop the shaft into without need for any router!
But you can't do a lot of damage doing it wrong with hand tools as long as you use commonsense, i.e. don't nail the shaft down and try and plane through the nail! (we all do stupid things at times!)
The plane blade should be sharp when purchased and sharpening is another skill, but I would wind it back to almost the sole (flat bottom) of the plane and get a fine shaving on a scrap to start with, then you can adjust as you wish depending on the wood type and how it peels off under the blade. Try and work out grain direction, watch out for splinters as you do this, you can always get a nasty one in the web of your thumb to make your eyes water. Wood will plane smoothly one way with the grain, but ruck up and even chip when you go the wrong way.
I find it simple enough to run the plane down a corner of a square shaft, just lightly, and that is easy enough to give you a starting bevel, do that on all four corners, as evenly by eye as you cna and all of a sudden by turning and planing gently you have the eight you want. Then plane each of the eight and you get sixteen and so on. The corner edge is a natural straight line to plane down, start lightly and try for an even depth and width. easy enough to take a little off, then some more, but impossible to replace once it is gone, so just start easy.
I will leave the compression block stuff to others, never tried one.
Footings are inserts of hardwood usually used to lengthen, strengthen or alter the front weight of a shaft. They look a bit like billiard cues, or pool sticks for you colonials, you know where you get the lighter shaft and a darker end? It is not something to start with until you get tools worked out but there are buildalongs for this about if you want to try it. You can also add a 'foot' at the nock end to repair a broken arrow, strengthen a nock etc. It is just a way of splicing.
ZanderPommo posted the dowel cutter for $30 information but hasn't replied to my request for details yet. I can't find one anywhere near that price but I will visit a few car boot ummm sorry, car 'trunk' sales to find one.
