Bolt holders are designed to keep the bolt firmly in place when the crossbow is moved or rotated suddenly. A bolt holder is simply a flat spring made from brass, steel, wood or similar material. A bolt holder is not necessary if you're doing target practice only. However, if you frequently move around with a loaded crossbow, e.g. shooting stumps, making a bolt holder makes sense.
Bolt holder is usually attached with screws behind the nut. It is bent over the nut so that the bowstring can be easily drawn to the fingers of the nut. The front end of the bolt holder is placed so that it presses the end of the bolt firmly against the flight deck. Curving the front end of the bolt holder slightly upwards makes pushing the bolt against the bowstring easier. In case bolts have three vanes, they have to be far enough from bolt's rear end.
An alternative way to solve the "loose bolt" problem is to carve the ends of the bolts so that they fit tightly between the fingers of the nut. This method requires the bolts to be matched to a specific crossbow - or rather, nut. Also, the rear end of too tightly fitting bolt may get stuck between nut's fingers when the nut rotates. This may cause nasty misfires.
There are several types of bolt holders as well as methods of making them: