How can I make this arm accessory? I want to make some sort of arm accessory/ cover, but I don't know how I should approach it. Here is a reference picture.

All of them are a cylinder sculpted with multiresolution modifier. Here is what I have:
In the first picture it looks quite close to what I intended but I can't make the holes in it. (because of the sculpting, so I made another one).


In the 2nd attempt I deleted some faces, but forgot about the holes.

Here I could make the holes before sculpting the cylinder, but I destroyed them while making it closer to the object I had in mind .... 

This is the raw cylinder with holes in it..
I've tried using the shrinkwrap modifier but it didn't do the trick for me
You can paint the holes with transparency. Basically, as you already did.
Bake the normal map from the Multires and then texture the accessory.
Use the alpha channel (or create a separate mask image) for Alpha slot of the Principled BSDF (or use a Transparent BDSF and a MixShader). Add some metal rings. That's it.
I had made something similar. Looks like this:
Low-poly mesh with rings (low poly circles + Solidify and Subdivision modifiers)

Textured with transparency (no baked normal map yet)

You can even pull a ribbon through the eyelets :-)

The ribbon is just flat plane with a Solidify and Subdivision modifier. In fact, it's not one part but several &quot;V&quot; parts.