Depending on the arm it can sometimes (and sometimes not) be a good idea to earth the arm cable to the chassis - if you want to try it you can usually find a screw on the underside of the chassis to connect the cable to. As with earth arrangements generally, you have to experiment to find the quietest solution. I didn't need to earth the AT 1503 I had on my most recent 401 at the chassis (though I did at the SUT), but I recall earthing other arms previously on 401s and Lencos to the TT chassis as that was the quietest option.
Sometimes the quietest solution can be to let the phono plugs take care of earthing and don't connect a wire at all, in other cases one earth connection (at SUT/preamp) or two (also on TT chassis) can be best. Suck it and see. There is no universal principle here and people's experiences will vary according to what arms they have tried and how their various earths have been set up.