How to develop pneumatic arm for robot?

Pneumatic systems can be really expensive and confusing to properly set up. If you want to make an pneumatic arm, you will probably need solenoid valves, compressor(s) and pneumatic pistons as your basic components.
If the arm needs to be controlled autonomously by the robot, i would use "Flex sensors" on joints, so that the robot knows the arm's position.

Depending on what you need to do with this arm, you might want to consider alternatives, such as servo arms.