I have waxed my arms, but I usually epilady. The new epiladies are not as painful as the old ones. When I first did it, I pulled the skin tight on my arm, and it honestly didn't hurt at all. A little less than my legs, even. But still, the more often I do it, the less I feel it.
The only thing, though, is that afterward, for almost a whole day I have large red bumps on my arms. So I just wear long sleeves. They go away and I forget all about them in no time, though.
It's definitely more comfortable than waxing brows, though. I think the skin is less sensitive on your arms, especially if you do it fast.