Can a tiny leak get worse?
Of course it could get worse, but does it really matter? The leak is inside of your shower area and should not be a cause of huge concern.

That portion of pipe is normally not under pressure except when the shower valve(s) is opened, and then only subject to back-pressure created by the restriction of your shower head (unless you have installed one of those "shut-off" type devices upstream of your shower head; which I do not recommend using, BTW).

Your second question, "is there anyway to know if I am leaking on the other end, inside the wall?", concerns me a bit. If you have reason to believe that the shower-arm thread connection inside the wall is anything less than perfect, you need to take action. Pull away or remove the trim flange (sometimes called an escutcheon) which covers the hole in the wall where the shower-arm passes through and inspect the threaded fitting with a flashlight. Chip away additional material from around the shower arm if necessary to get a good look (don't chip too much, make sure the trim flange will still cover the hole). You need to ensure 100% that there is no leak inside the wall.