Timing. I can't stress this enough. Taking a picture of a dart puncturing a water balloon is all about timing. Two things are clear right away. You need a really dark room and you're going to spill water.
I used a clamp to hold the water balloon and then I set up a laser trigger on my flash. The laser trigger is called a Nero Trigger, it's a device that fires your camera or flash using light or sound. I also used a store bought laser pointer to set up the beam.
Getting the water balloon very close to the light beam and then throwing a dart in dark room is how you do it. Not always successful.
I used an fstop of 5.6. ISO 200. Exposure 3 seconds. Once the laser beam is broken it triggers the flash. What's nice about the Nero trigger you can dial in a delay after the laser beam is broken. The dart hitting the balloon was 1 millisecond after the beam was broken. I used settings of 3 to 15 milliseconds on other photos.