I'm really pale but have dark hair and I shave my arms as well. It never grows back thick. It's a common myth. I've tried Nair, but it didn't work as well and my arm was a little tingly. I've also tried bleaching my hair but that didn't do much. It really depends on the person as to what method you use but I think simply shaving is easier.
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The hair shaft tapers at the end. "When you shave it, you're crossing the midshaft, so it seems like it's thicker and more coarse," explains Dr. Robin Ashinoff, director of cosmetic dermatology at Hackensack University Medical Center. "But it's not."