I wouldn't wax it...ouch and double ouch. Not to mention that your arm isn't used to shaving (like your legs) and may be a little more sensitive...therefore waxing might give you a bad irritation rash.
My sister hates her arm hair too and so she bleaches it. I use an electric razor on my legs every now and then like when I don't have time to shave, but know I'm going to be wearing shorts or something. I like it cuz it's fast and it gets the hair pretty close to the skin. You could try that on your arms which might work better....much better than waxing anyways!!!!