I'm pretty sure they only do arrows. Anything you throw is what ever the delay is on the item, unless you have haste. I don't think you can put axes or anything else but arrows in quivers.
You can also try a Crude Fur Bandolier, which may be an updated version of a Crude Fur Bag. The posts say it seems to only hold ammo which suggests it works like the WR quivers (e.g. haste), but it doesn't look like anyone has posted numbers to prove it.