Making good puppet arm rods is more complicated than it seems. In fact, I feel I've just recently got a handle on it (no pun intended). To make arm rods, I use many different techniques, that I've picked up from various puppeteers over the years.
First, it is very important to choose the right material. The most popular thing for beginners to use is coat hanger wire. The advantage is, it's flexible and easy to cut - the disadvantage is, it's flexible and easy to cut. Tim Miller, a brilliant sculptor (check out this figure he did for Sideshow Collectables), and puppet builder introduced me to piano wire. It's narrow rods of hardened steel, and can be found at most hobby shops. In the Los Angeles area, I get it at Kit Kraft.
Use a dremel to cut it the rod to the right size, please wear safety goggles. Next, using a clamp and pliers carefully make a 90 degree bend about one and a half inches down at one end. Then, make a 90 degree bend about a quarter of an inch down at the other end. One end will attach the hand, and one will attach to the handle - I'll tell you how in a later post.
I have found the best thickness to use is 3/32 wire.