Originally Posted by Rip Van Winkle
I would STRONGLY STRONGLY suggest/encourage that you use foam...like, the squishy kind (plus it comes in huge sheets at Hancock Fabrics so you can make it without having to attach pieces together.) You can paint if black with fabric paint I'd wager. The foam will be incredibly light AND it will sway and wobble like Seras' arm-shadow-thingie does.
I would agree with the foam, but I think it's going to need a liiiiitle bit of boning for support along the larger load-bearing suports. If you're any good with a sewing machine, see if you can get a think black vinyl/latex, or a shiny fabric to coat the whole thing with. As for the boning/support, Go get yourself a spool of electric fence wire and a pair of end nippers.
Assembly: get two large sheets of foam, half the thickness of the total thickness of the arm, and trace out your pattern on one. Take an electric knife and cut out your shape, place it on the other sheet, trace and cut again. Now take the electric fence wire, double it up, bend it, whatever, so you get some support in the places you need it. Take some 3M adhesive spray and glue the two halves together with the support wire in the middle. Don't spray where you expect your arm to go, that way, you can slide your arm in and grab the support wire.
Now um... do that sewing thing. And like, cover it in fabric. (I don't sew X3)