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ETH from HE is mainnet ETH. You need arbETH for sLEO less than $1 will do.

If you have ETH in your wallet you should be able to swap it to ETH.ARB on LeoDex. Just connect your wallet there and go to the swap page. Select ETH ethereum in the top/from part and select ETH arbitrum in the bottom like so:

The button on the bottom wont say connect wallet once you have connected. It will say something like swap tokens.