Works after 1.4

Works with my Companions. I always make sure I give them one Daedric Arrow and a Bow. While they don't always use the bow, and you can't always recover a Daedric Arrow, I get 4 to 5 Daedric Arrows per dungeon. Enough for the boss fights.

I found them on a Dwarven Centurion Guardian in Blackreach. Happy hunting

Once you are level 40ish (maybe even a bit earlier) the Fletcher in Solitude usually sells like 5 LOL Why he only sells a few, being a Fletcher and all, I don't know! *shakes head* But yea, you can loot them of Dwemer Centurions, but it's easier to buy them at the Fletcher and then wait for darkness, sneak into the barracks, steal the Steel arrows from the sleeping guards and place ONE Daedric arrow in their inventory. I usually save after each guard, since some will wake up for no reason at all, even if you have the pickocketing skill at 50 and 2 or 3 points in it. Go figure, stupid guards. I also use a pickpocket potion and jewelry LOL

It's even better if you're training while collecting the arrows the guards shoot. I went from 60-100 restoration just by using equilibrium and close wounds/grand healing near the archer targets, and had over a thousand daedric arrows.