Looking at your roster, you have quite a nice list of epics, but very few rares. Seems like you've been sacrificing all your rares to level up Kael and the epics? That's not really a good idea, ideally you'd only use commons, uncommons or duplicate rares for leveling other champions. Of course I don't know which rares you once had and sacrificed, maybe they were all terrible anyway.
Anyway, yes, you do need to focus on arena, but also on Clan Boss and indeed, primarily dragon among the dungeons to begin with, as well as minotaur for the other champions' masteries.
Arena: Kael (DPS) and Zargala (AOE decrease defense) should definitely be on your team. Next, you'd usually want somebody to speed up the team and possibly also provide a speed aura (High Khatun works, are you getting her any time soon?), and then in the fourth slots there are various options, but a lot of people like to put somebody who can give the whole team increased attack so Zargala and Kael can do even more damage. You don't currently have that, from what I've seen; an 'easy' option is Spirithost, who you can get from farming campaign stage 4. Even better would be epics like Seeker, Battlesage or Gorgorab, but that requires luck on the shards.
Dragon: Again Kael and Zargala seem obvious, as well as Sepulcher Sentinel (to support the team and put decrease attack on the dragon). Zelotah could also work - build him with high HP so he can give everyone a big shield. For the fifth, it depends a bit where you're struggling the most: Frozen Banshee is devastating on the dragon, at least if you've booked her, but useless on the waves. If you need more firepower on the waves as well, somebody like Oathbound or Dark Elhain could work better. Or if you need more support/heals/revives, then Mistress of Hymns. Same team should work also for Minotaur, though obviously on Mino you want to use whoever needs their masteries.
CB: Kael for now, though you'll replace him eventually; Sepulcher Sentinel; Frozen Banshee; Zargala though she's not ideal as you'd prefer someone who can keep decrease defense on the CB permanently; and I guess some support of your choice, Zelotah or Mistress or Vergis.