The Baggies caused a shock last season when they beat the Gunners 3-2 at the Emirates, but Jerome has revealed his team-mates are wary after watching Arsene Wenger’s side beat Chelsea 5-3 last weekend.
"We saw their result and we would have been a lot more confident if we hadn't seen what they did to Chelsea," Thomas told the Birmingham Mail.
"Everyone knows going to the Emirates isn't going to be easy regardless of what form Arsenal are in and what form we're in.
"We can take confidence from our performance last season but it's a whole new year now.
"Whatever game we go into, there is no game that we think we can't get anything from, even the big games, so we can't say we go there with no pressure."
Roy Hodgson’s side travel to the Emirates looking to get their season back on track after losing 2-0 at home to Liverpool in their previous Premier League match.
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