In the opening credits of each episode Blanche is shown with Dorothy and Rose sitting on a sofa and she is "losing" an arm up her red sleeve. Does anyone know from which specific episode this is from?

It's from the episode Break-In from Season 1.

They didn't include that clip in the episode, but it is from the scene after the alarm salesman left the house, and they were all sitting on the coach talking. Same with the clip of Dorothy biting her fist in the opening credits, it is from "Break-in" as well. After her and Sophia were playing scrabble, she bit her fist, just a little different then they use in the opening. I've never seen this scene with them playing scrabble on TV, but it is on the DVD.