My old shower arm has no threads on it when I took old shower head off I think it was glued on... so do I replace old shower arm if so how is it done?

You will likely have to unscrew from the wall, and thread in a new piece.
I would use Teflon tape, A plumber may suggest a more correct method.

Purchase a new shower head and arm, some pipe thread joint compound and a 1/2" PVC threaded pipe cap.

Unscrew old shower arm from drop ell (inside the wall). You can use a pair of channel lock pliers or small pipe wrench to the that

Coat the threads on the new shower arm with the pipe joint compound. Some people prefer Teflon tape. I prefer pipe joint compound. Seems to lubricate and seal the threads better.

Screw the shower arm into the drop ell by hand. Then insert a long Philips screw driver in the end of the shower arm and use that to tighten shower arm in further. The screw driver extends the length of the bent section and increases your leverage. Tighten by rotating the screw driver in a circulation fashion. A pipe wrench or pliers will scar up the chrome. You could use a strap wrench but the smooth chrome surface makes it slip easily. If you do use a strap wrench, wrap some duct tape around the shower arm so that the strap grips better.

By rotating the screwdriver in the end of the arm in a circular fashion you should be able to tighten the arm sufficiently.

Remember, it is highly desirable that the shower arm point down toward the tub and not up toward the ceiling. With each rotation you will have to decide whether you can make another full turn. If you find that you have tighten past the downward position but cannot make the full turn, unscrew the arm, re-coat the threads with additional joint compound and start over. If you just unscrew the arm a partial turn you are likely to have a leak.

Screw the pipe cap on the end of the arm hand tight. Turn on the water and check for leaks around the drop ell. By capping off the shower arm you will have created the maximum water pressure that will ever be on that joint. If it is going to leak it will be now.

Remove pipe cap and screw on the shower head.