I've never been able to see how hitting an artery would be a big issue. All of the information about impalement injuries talks about the tamponade effect, where the impaling object plugs the wound. In the case of a tapered Roman nail, it would compress the soft tissues around it as it passed through, and provided that the nails were placed up against the bones of the wrist and feet, there's not much danger that I can see of the wounds tearing or enlarging under stress. The compression of the flesh would create what is called a "preloading" effect, the same as you encounter in other prestressed systems such as prestressed concrete or even a wooden barrel with iron hoops. You have to generate enough pull or tension to cancel out that compression before the wound could possibly pull open and bleed.
I do think that there would be some minor internal bleeding that would show up as bruising running down the forearms from the wounds, but that would take several hours to appear. This is similar to what you see with a sprained ankle, where internal bleeding flows downward by gravity and pools just above the heel, forming a bruise that can be substantially below the site of the actual injury.
Also talking about blood, I think that you would see an odd-looking post-mortem lividity in a dead crucifixion victim where the lower half of his/her body would become very dark with the solids in the blood settling by gravity while the upper part would be very pale. You would see light patches on the buttocks and soles of the feet where they press against the cross. Not erotic, just an observation and the kind of thing I would incorporate in a story for interest and realism. So if you're watching CSI on tv and they find a body like that, it could be because it had hung on a cross for several hours after death.
Stuff like "The Passion of the Christ" is really over the top in the gore department, just impossible in reality. My opinion is that there would be a lot more blood from a good whipping than one would see due to the crucifixion process.
Jedakk