The simplest means is, as you have discovered, just shoot the arrow into the ground and grab it. There is another means, that is more tedious, but at least it can save you any applied poison and not waste a charge if your bow is enchanted:
Once you get the acrobatics skill to 50, you gain the 'dodge' perk. If you have an arrow nocked, start to move in any direction and execute the dodge manuever, you will unnock the arrow.
More info on the dodge manuever here: http://www.uesp.net/wiki/Oblivion:Acrobatics
If on PC, there are mods that can allow one to denock arrows without doing the dodge manuever. I'm on PC, but have been using the dodge to denock manuever so long, it is second nature now.