Is it possible to create WAL archive files on standby servers when using streaming replication?
Yes and no, standbys do not archive WAL in ~9.4, but you could use archive_mode = 'always' with the upcoming 9.5.
I know I can use archive_command or pg_receivexlog - but these will both result in me sending information to the standby servers which has already been sent via standard streaming replication. This would result in a doubling of my network traffic.
Ideally I'd prefer to conserve this bandwidth and write the files to a local archive on any active standby.
Both methods you mentioned are the way to go for now I am afraid, or you wait for 9.5.