Yes, Arktwend and Myar Aranath play in the same world as Nehrim, and Arktwend's story is interconnected with Nehrim's one (and plays before it). There is some connection between Myar Aranath and Nehrim as well, but I think it is rather small.
Yes it is a good idea to play them before Nehrim, but I advise you to start with Myar Aranath, because Arktwend will soon be released in a new version (in 1-2 weeks if everything goes right) and you won't be able to use your old savegame with the new version.