It is very risky imho because to take advantage of the price difference you'd have to buy and sell almost a whole coin to gain anything considerable and by the time you make your way from A to B the market value itself might change and your profit/loss would then depend on whether the coin went up or down during the period.
I don't think this is the only way to make a profit in bitcoin arbitrage. You're right, the time it takes to move from the A to the B market will ruin any chance to make a profit. That is why it is important to have funds available in both markets, and when the opportunity emerges, to buy in one market and sell in another market almost at the same time. This is of course, very difficult, since massive investment are required for any significant profit. But it is possible.