This paper investigates the relationship between fine motor skill training in VR, haptic feedback, and physiological arousal. To do so, we present the design and development of a motor skill task (buzzwire), along with a custom vibrotactile feedback attachment for the Geomagic Touch haptic device. A controlled experiment following a between-subjects design was conducted with 73 participants, studying the role of three feedback conditions - visual/kinesthetic, visual/vibrotactile and visual only - on the learning and performance of the considered task and the arousal levels of the participants. Results indicate that performance improved in all three feedback conditions after the considered training session. However, participants reported no change in self-efficacy and in terms of presence and task load (NASA-TLX). All three feedback conditions also showed similar arousal levels. Further analysis revealed that positive changes in performance were linked to higher arousal levels. These results suggest the potential of haptic feedback to affect arousal levels and encourage further research into using this relationship to improve motor skill training in VR.