An Arduino isn't needed for this; just boot to a live CD to generate your keys, put the wallet.dat on a brand new, freshly opened (and maybe encrypted) flash drive or SD-card, and generate an address. Reboot into your primary OS and send some coins to that address. Maybe reboot again to test that they were received.

Are there any ECDSA smart cards out there? It'd be pretty cool to use a smart card for Bitcoin crypto.