Never mind, I'll cover old and new.
Excel 2003-
1. On the Drawing Toolbar, click Autoshapes|Point to Connectors
2. Grab (click & hold) the dotted line at the top of the connectors palette and drag this out onto your worksheet.
3. Double click the connector you want and away you go, draw as many as you want without re-selecting.
4. When finished, single click the connector on the palette or press the Esc key.
5. Close the palette when you are finished with it
Excel 2007+
1. On the Insert ribbon tab|Shapes|right click the shape you want and choose "Lock Drawing Mode"
2. Draw away
3. When finished either
- 'Esc' or
- single click the shape again in the gallery at the top left of the ribbon or
- right click another shape and choose "Lock Drawing Mode" to draw multiples of that shape.