Arcane builds are tricky to set up but pretty satisfying. The important thing to keep in mind is that every weapon technically has Arcane scaling, however it doesn't kick in until you've embedded an elemental gem (unless it's naturally Arcane, like The Wheel, Blades of Mercy, etc...).

So one way to approach it is to beat Blood-Starved Beast, grab the Ludwig badge from the Workshop Tower, and then drop down the tower to the lower streets where you can find an early Fire Gem. From there you get the minimum stats for the Holy Blade, infuse it with fire, and focus on Arcane. And once you kill Amelia you can grab Augur from the Nightmare and make a risky run to Cainhurst to grab the Executioner's Glove.

As an alternative to the Ludwig strat, you can try to just kill Eileen as soon as you meet her to get the Blades of Mercy early. But she's pretty tough. Sadly, what's-his-name doesn't acquire his Wheel until you do his quest, so killing him is fruitless.