You could just get some decent reflective tape and make an arrow on your forearm (tape it to your most commonly worn outer layer). At worst, you might have to redo it every week or so, but reflective tape is relatively inexpensive.
I have some map pockets designed to keep maps on your forearm while riding a motorcycle, and that would make a nice base for something similar. (you can check out the map pockets at aerostitch,com if you're interested).