I was messing about with arrows last night, I got them to stick in the walls fairly easily, I did something like this:
Event: [Arrow] On Collision with [Wall Object]
Actions: [Arrow] Set speed to 0
[Arrow] Set Angle to Self.Angle
[Arrow] > Bullet Behaivour > Set Disabled
If you have more than one type of solid object then put them in a Family and replace [Wall Object] with the family name
(EDIT: Actually I think I removed setting the Angle as it wasn't necessary, but I don't think it hurts)