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Answer: There are several possible problems to resolve before we can permit this.
Tofer (sewing) – It is forbidden to attach two objects or two parts of an object to each other by stitching or the equivalent (see Mishna Berura 340:27). One can claim that connecting darts to the board is considered tofer. A full violation requires at least two stitches (Shabbat 73a) and here every dart is connected in only one place, but it could still be a Rabbinic prohibition. On the other hand, certain types of connections are permitted because they are for temporary opening/closing, e.g., buttons, zippers (Orchot Shabbat 11:7-8). One can argue that likewise the nature of the darts game is to connect them just long enough to see how many you placed where. Regarding the very similar case of using one thumbtack to attach a note to a bulletin board, Piskei Teshuvot (313:(157)) distinguishes between setups based on how long they are likely to stay pinned. In this case, the game would not be a problem, but leaving the darts on the board or removing them when starting to play could be. However, it is not clear that this is so for a flimsy, single connection. Also, the fact that the dart is not connecting two things but connecting itself flimsily may preclude it from being tofer (Orchot Shabbat 11:(14)).
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2) It is forbidden to attach a nail to a structure (Shabbat 103a). This applies not just to a building/something attached to the ground, but even to a movable object (Mishna Berura 314:8). However, the K’tzot Hashulchan (119:(4)) says that if one attaches something not to use there but just for it to remain until it is removed later, it is permitted. One can prove that connecting one object to another just to hold the former for later use elsewhere is not intrinsically forbidden, from the gemara (Shabbat 50b) that one may return firmly to a wall a knife that had been held there previously.
Making or expanding a hole – It is forbidden to make or widen a hole in an object such as a barrel (Shulchan Aruch, OC 314:1). In playing darts, every successful throw makes a small hole in the board. However, the prohibition is when the hole is the type that is or could be useful (see Mishna Berura ad loc. 8). In this case, though, the holes are incidental and unhelpful.
Destroying – Holes created hasten making the board usable. Destroying utensils except flimsy ones to remove their contents on Shabbat is forbidden Rabbinically (Shulchan Aruch ibid. and Mishna Berura ad loc. 7). Yet, piercing a cork with a cork screw is permitted (Mishna Berura 314:17; Shemirat Shabbat K’hilchata 9:20). The cork’s hole is neither a problem of being constructive or destructive and, practically, each hole the dart makes in the board is even less significant. Forbidding it because continuous dart throwing will eventually wear out the board is like forbidding walking in shoes because they will eventually get worn out. We also find that it is permitted to make a hole in a piece of paper (Mishna Berura 323:20), with the possible exception of when the hole is made in a place that communicates information (see Magen Avraham 323:5).
In all, you can play darts; you might want, as a chumra, to avoid storing the darts on the board.

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