How do you play octaves without pain?
Try playing an octave with the right hand and holding it down. Relax enough so that the friction between the fingers and the keys holds the hand open. You should be able to maintain this position for as long as you need, and it should give you no discomfort.
Are arpeggios difficult?
A good scale or arpeggio is one of the most difficult things to play on the piano so they can help you develope the fine motor control you need for performing repertoire well.