Hmmm...How much mobility are you wanting with the finished arm? If you're ok with it being immobile, you might want to use some styrofoam glued together and cut to the right dimensions and shape. There would be small bumps and dents on the surface of the foam, but you could put a thin layer of paper mache over that to cover the imperfections, and then cover the whole thing with paint, spray paint, or fabric, depending on what you wanted.
Just be forewarned...don't mess with the foam inside the house or without a mask! I ended up coughing up pieces of it for a week and was finding bits of the crap floating around my room for a long time afterward.
Hope it helps!