We extend the recently developed dual-arm Z-scan to increase the signal-to-noise ratio (SNR) for measuring the nonlinear refraction (NLR) of thin films on thick substrates. Similar to the case of solutes in solution, the phase shift due to NLR in a thin film can often be dominated by the phase shift due to NLR in the much thicker substrate. SNR enhancement is accomplished by simultaneously scanning a bare substrate and the film plus substrate in two separate but identical Z-scan arms. The subtraction of these signals taken simultaneously effectively cancels the nonlinear signal from the substrate, leaving only the signal from the film. More importantly, the SNR is increased since the correlated noise from effects such as beam-pointing instabilities cancels. To show the versatility of the dual-arm Z-scan method, we perform measurements on semiconductor and organic thin films, some less than 100 nm thick and with thicknesses up to 4 orders of magnitude less than the substrate.