You should be able to craft bolts at forges anywere after you learn how to that is. Continue the main part of the story untill you meet a breton woman that tinkers in that stuff.
Bummer. I started down the Vampire route with my archer character hoping to use crossbows as my main weapon alongside sporadic transformations when I noticed I was running out of bolts... If I can't make bolts as a result of this decision I may have to revert to an earlier save (four hours lost).