Drop ear elbow leaking at shower arm
Obviously it could also be the shower arm threads are bad. When you thread in the shower arm do you get resistance after a few turns or is it loose until it suddenly hits the end of the threads?

Some people use both pipe dope and Teflon tape.

Alternatively, you can use "plumber's hemp" and use it in conjunction with pipe dope. Hemp may work better with loose threads. Hemp is used in Europe for parallel threads. US tapered threads normally don't need hemp, but sometimes it does the trick. Google for a Youtube video on how to apply it.

I wonder if heavy duty sewing thread would serve as well as the plumber's hemp?