Many different kind of boltheads were used in the Middle Ages. Boltheads were very similar to arrowheads, but usually larger as bolts had a much thicker shaft than arrows. Several types of bolts and boltheads are described in literature (e.g. Alm 1998: 42,52,54,77; Payne-Gallway 1990: 18,126-127). Similar types of heads were used in siege engines of classical antiquity and Middle Ages. The problem is that the actual process used in making the boltheads (or bolts in general) is not described in detail anywhere. I assume the problem is that the authors like Alm (1998) and Payne-Gallway (1990) were not artisans themselves and thus were not interested and/or capable of explaining the manufacturing process itself. I've managed to find a few articles on this topic in the Internet which are linked to in the list below.
Some of the techniques, tools and raw materials used in these articles are modern. This is merely for the sake of convenience - for example instead of forge welding a standard "Stick" welding machine may have been utilized. I've heard most modern smiths do this too to save time. The resulting boltheads are, however, very close to what came out of the medieval forge. Note that a few of the articles describe boltheads which have no medieval counterpart.
Here's a list of relevant articles:
- Forging boltheads, method 1 (suitable for large boltheads)
- Forging boltheads, method 2 (suitable for small boltheads and arrowheads)
- Forging boltheads, method 3 (suitable for boltheads of all sizes)
- Blunt boltheads from steel pipe
And here are the few other sources I've managed to find from the Internet:
- Forging a war bodkin. This is a very nice video tutorial for making pyramid-shaped arrowheads. It's also applicable for crossbow boltheads.
- Forging a medieval long bodkin. Good tutorial for making long, chainmail piercing bodkin arrowheads. Probably not as useful for crossbow boltheads, though.
- Do-it-yourself/Bodkin point
Alm, Josef  1998. European Crossbows, a survey. Royal armouries monograph 3. Dorset.
Payne-Gallwey, Ralph  1990. The crossbow. Medieval and modern, military and sporting. It's construction, history & management. Albert Saifer publisher. London.