Skullcrown should be a no-brainer. Apo makes sense, with Zargala probably to soften up the opposing team (make sure she goes before Skullcrown), then for the fourth you have plenty of options, including Kael, Skarg, Fenax,... 

Thenasil is a good champion, but arena tends to be fast paced and decided in the first few rounds and his offensive contribution is limited. He's not that great in arena - maybe for a more defensive team, but if you have Skullcrown and the potential for a strong offensive team, that's just easier to build. 

Thanks for you answer, I'll also unlock Scyl of Drakes in a few days, will she be a good addition in this composition ?

Not really. She could work in tag team arena maybe, but her skill kit, as great as it is for most dungeons, isn't really offering that much in the arena other than the revive - which you shouldn't need if you nuke hard enough with your Skullcrown, who gets an unkillable buff when close to death, so isn't easily nuked herself. 

U need to farm chickens 

Farm ? You mean "buy" right ? x)

I know I have to upgrade my champions to level 60, but that's why I posted this topic, which one do I have to upgrade ?

 Is Thenasil your first 6 star? Who is your farmer?

A good starting team for you base on your champions right now is probably:

High Khatun, Spirithost, Zargla and Skullcrown.

Make their speeds close to each other since High Khatun does not give a lot of turnmeter boost. And also arrange their speed so they will move  in this order. Probably maximum of 40 speed difference to make enemies not cut in between your turn after your High Khatun moves. 

Yeah I only have one 6* for now, don't know which one to farm and upgrade

Skullcrown. She'll do campaign farming as well as arena nuking and dungeon wave nuking. Normally your first 6* is a champion who can do campaign farming - Thenasil wasn't a great pick for that reason, because now you have to grind longer to get your 5 x 5* sacrifice champions without being able to farm brutal 12.3. Unless Skullcrown can do that already at 5*, actually... worth a shot. 

Why is Brutal 12.3 THE farming spot ? (Not that informed on the game ^^)

Currently I'm stuck on 5.7 Nightmare

You're trying to do Nightmare with only 1 6* champion? That's impressive, but mostly it's completely insane. Forget it for the next few months and go farm brutal, I'd say. 

Brutal chapter 12 is the best XP per energy you can get, except for people with such high-level rosters that they can farm Nightmare 12 instead - but even then, the gain is limited and it takes so much longer per run that they don't necessarily bother. And stage 3 is the one that drops shields, which sell for the most silver (12.6 gives you a fraction more XP, but less silver, so most people prefer 3). 

But of course, that's only efficient if you can run your farmer with 3 ungeared sacrifice champions - which generally requires a 6* champion, and an offensive one with a good number of solid AOE attacks. I'd be surprised if your current roster has any champions who can do it. 

Do this (chicken farming) for a month

Atm I was doing 2.X in Nigthmare with Thenasil and Jareg + 2 foods to pex them

Thanks for the advice, I'll farm 12.3 Brutal with Skullcrown to up her 6* then :)