Do a quick swipe from the Swype/Tips key on the bottom left of the keyboard to the adjacent SYM key and you'll get the layout you see here.
In addition to the desired arrow keys, there's page up/down, select all, and other useful functions too. "Select Text" and cut, copy, and paste are unwieldy compared to HTC Sense's awesome implementation of the feature, but Swype isn't an EVO-specific keyboard so it can't be faulted for that.
The only thing missing from Swype now is voice-to-text (the Droid X already has it and it's supposedly coming to the general beta soon).
Thanks, Kreinartz83!