I looked for it but couldn’t find it so I made it. Here’s an Axure library of callout widgets:

It’s not exactly rocket science but hopefully someone might find it useful. Callouts are probably an oddity in the Axure world, as Axure is more based on prototypes rather than wireframes. But at work we use Axure more for traditional wireframes than prototypes so need callouts for on-page documentation. In this environment Axure’s killer feature is it’s SVN based system for collaborating on a shared file. (Try getting three people to successfully update a 100+ page Visio document at the same time without errors…)
