You are supposed to do but I'm not totally sure they really make difference in the gameplay. BTW you can to do it before pressing space, by clicking on a crossroad and drag the pointer in the direction you want the arrow headed.
It didn't feel very responsive but it mostly worked for me. Click in the center of an intersection and drag in some direction. An arrow should appear in the intersection. (Mac OS 10.5)
Doesn't work for me either (Ubuntu 10.04, Python 2.6, Pygame 1.9, Pyglet 1.1.4)