I would say arrogance isnt your problem, lots of PUA's act or are arrogant. When u are able to combine it with some good humour it often becomes a verry powerfull PU-weapon.
Do a search on this forum for Cocky/funny some nice posts around.
A few tips for Humour in general. When u make a joke dont tell ppl ur kidding , dont start to laugh etc. these things relieve the comical tension u created. Google some Robin Williams , Seinfelt , Chris Rock vids and see what facial expressions they use on delivering a joke/performance .
( Another reason why u shouldnt do this is becouse in the example u gave u Lower your own value . The idea is to convince ppl that u are a " realy awesome guy" ,not to get a chuckle by telling ppl " i see myself as a chump , couse i listen at that certain type of music ")
Finally i believe ppl call u arrogant couse your "actions" and your selfimage are to far apart. U simply cannot get away with acting al confident while doubting every move u make.
Read some selfimage and inner-game posts on the forum. Enough things there to get u started.
Try to feel like u got atleast 50% of the world population under u.
keruli