Combine the coconut oil, shea butter, and beeswax in a quart-size glass mason jar, and carefully place this jar in a small saucepan of water on the stove.
Turn the burner on, and bring water to a low simmer. Stir ingredients constantly until they are melted and smooth.
Remove from heat. Stir in the menthol crystals and stir until dissolved.
Add the essential oils and arnica oil (if using), and stir until well combined.
Carefully pour the oil mixture into the molds of your choice. I used silicone molds, though any mold will work.
Allow the lotion bars to cool completely before attempting to pop out of the molds. I put the bars in the fridge to speed up the cooling time.
Notes
You can use different shaped molds for this, including muffin pans. Another option is to pour the lotion bar mixture into a square baking pan and then use a knife to cut it into individual bars. The exact recipe yield will depend on the size of your molds, but I usually get about 6 bars from this recipe.