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Arsene Wenger handed starts to Emmanuel Eboue and Alexandre Song, but it was the home side who made the brighter start, with Arsenal keeper Manuel Almunia having to deal with a couple of long-range drives.
With 20 minutes on the clock, Robin van Persie was given a chance to break the deadlock following Jose Reyes' pass, but the Dutchman placed his shot too close to home goalkeeper Eldin Jakupovic.
Soon after Adriano's deflected effort caused Almunia problems as it curled narrowly off target.
Ten minutes before the break, Thun were reduced to ten men as van Persie's clear run on goal was ended by Armand Deumi just outside the area and referee Baptista issued a straight red card.
The game remained goalless up until the half-time whistle, as Arsenal failed to make the most of their man advantage.
Thun thought they had the lead six minutes into the second period, but Nelson Ferreira was flagged offside.
Philippe Senderos then had to make a smart block to deny Mauro Lustrinelli as the home side upped the pace.
Just before the hour, Thun skipper Silvan Aegerter powered a drive in at the near post and Almunia had to stand strong to make the save.
The Gunners finally responded with a Thierry Henry free-kick from distance which Jakupovic palmed away to safety, before an offside flag denied Lustrinelli an opening goal.
Twelve minutes from time Adriano beat a couple of defenders before testing Almunia from 25 yards, before Arsenal won the game with a controversial late penalty, given for a challenge on van Persie.
Sub Pires stroked home the spot-kick to make it five wins out of five for the Gunners.