Haskell: Am I misunderstanding how Arrows may be used?

I wrote some toy code to play with the concept of Arrows. I wanted to see if I could write an Arrow which encoded the concept of a stateful function - giving a different value after different calls.

{-# LANGUAGE Arrows#-}
module StatefulFunc where

import Control.Category
import Control.Arrow

newtype StatefulFunc a b = SF { unSF :: a -> (StatefulFunc a b, b) }

idSF :: StatefulFunc a a
idSF = SF $ \a -> (idSF, a)

dotSF :: StatefulFunc b c -> StatefulFunc a b -> StatefulFunc a c
dotSF f g = SF $ \a -> 
    let (g', b) = unSF g a
        (f', c) = unSF f b
    in (dotSF f' g', c)

instance Category StatefulFunc where
  id = idSF
  (.) = dotSF

arrSF :: (a -> b) -> StatefulFunc a b
arrSF f = ret
  where ret = SF fun
        fun a = (ret, f a)

bothSF :: StatefulFunc a b -> StatefulFunc a' b' -> StatefulFunc (a, a') (b, b')
bothSF f g = SF $ \(a,a') ->
    let (f', b) = unSF f a
        (g', b') = unSF g a'
    in (bothSF f' g', (b, b'))

splitSF :: StatefulFunc a b -> StatefulFunc a b' -> StatefulFunc a (b, b')
splitSF f g = SF $ \a ->
    let (f', b) = unSF f a
        (g', b') = unSF g a
    in (splitSF f' g', (b, b'))

instance Arrow StatefulFunc where
  arr  = arrSF
  first = flip bothSF idSF
  second = bothSF idSF
  (***) = bothSF
  (&&&) = splitSF

eitherSF :: StatefulFunc a b -> StatefulFunc a' b' -> StatefulFunc (Either a a') (Either b b')
eitherSF f g = SF $ \e -> case e of
      Left a -> let (f', b) = unSF f a in (eitherSF f' g, Left b)
      Right a' -> let (g', b') = unSF g a' in (eitherSF f g', Right b')

mergeSF :: StatefulFunc a b -> StatefulFunc a' b -> StatefulFunc (Either a a') b
mergeSF f g = SF $ \e -> case e of 
      Left a -> let (f', b) = unSF f a in (mergeSF f' g, b)
      Right a' -> let (g', b) = unSF g a' in (mergeSF f g', b)

instance ArrowChoice StatefulFunc where
  left = flip eitherSF idSF
  right = eitherSF idSF
  (+++) = eitherSF
  (