Correct, that's a matter of using Paths (pen tool).
However, there are a couple ways to go about it.
If you want a simple outlined head...
1) Draw a curved path, deselect it, then draw an angled path for the arrow head. Select both Paths and Stroke them using a brush that's the width/size you want your lines to be.
If you want a solid triangular shaped head...
2) Use the Line tool and set the Options to use the "Vector Shape Layer" setting (1st icon button on the far left of the bar).
In the Line tool settings also, open the Geometry Options menu and set your line to have an arrow head at the end of it.
Now draw a straight line, that starts and ends where you want your arrow to start and end.
Zoom in close on the middle of the line.
With the Pen tool selected, hold down the ALT key and click on one side of the line. Then click again on the opposite side of the line. This adds 2 new nodes to your path.
Hold the Ctrl key down and drag out a selection around these 2 new nodes. Then while still holding the Ctrl key, click-&-drag either of the nodes in the direction you want your arrow line to bend.
Click outside the shape to deselect it.
Now hold the Ctrl key again and drag out a selection around the 3 corner points on the solid arrow head (tip and both side corner).
Press Ctrl+T. Click-&-drag on the outside of the Distortion square to rotate your head so it's better aligned to your arrow line. Press the Enter key to apply, then deselect the path nodes.
You now have 2 types of fully editable curved arrow lines.
If you have questions about any terminology or instructions used here, please read through this:
http://www.photoshopgurus.info/begin...n-tools5.shtml
Hope that helps.
:B
How do I create a curved arrow in photoshop... 
Linear Mode
