You could set the arrow rigidbody to kinematic to stop the physics movement, move the arrow a little forward to ensure it penetrated the enemy body, and make it an enemy child to join both. If you have a OnCollisionEnter function in the enemy script, you can use something like this:

var depth: float = 0.30; // how deep the arrow will enter the body

function OnCollisionEnter(col: Collision){
  if (col.transform.tag == "arrow"){ // only arrows accepted
    col.rigidbody.isKinematic = true; // stop physics control
    col.transform.Translate(depth * Vector3.forward); // move the arrow deep inside
    col.transform.parent = transform; // stuck the arrow to the enemy
  }
}