The first arena-phase at Thorim in Ulduar is one of few encounters where healers actually take healing aggro. Each new wave of mobs begins with zero threat to the raid.
Now, not only healers have to mind their actions when a new wave of mobs is coming. It is probably more important for the DPS to do the same. What happens if DPS take aggro, is that they also take damage. If they take damage the healers need to heal them, which in return generates threat, making it more likely for the healer to take aggro from the mobs.
The DPS might not think that the damage is so bad, and it can most often be easily healed. But the effect of DPS taking aggro results in putting the healer in a more vulnerable position.
About the Thorim fight in general, the DPS also needs to be aware that the tanks abilities will be on cooldown. As a priest I try to use e.g. Power Word: Shield quite frequently as it generates a low amount of threat compared to normal healing spells, and thus gives the tank a better chance to gain initial aggro (or rather, lowers the risk of myself getting aggro). Just a last note, that If you don't run with replenishment etc, Power Word: Shiled might be a bit high on the mana cost.