Yep, it might not look like a good thing (fighting an arch-vile type thing with heaps of support on level 3-5) but it is. Not only do you have all the cool weaponry from the arena to do it with, you also get some new toys. Oh, and a damn near guaranteed assembly, which I currently rate as the most powerful of the new batch. Just because you get it here, nice and early, and it's so good for so many characters.
You'd be surprised how easy it can be if you just chuck on some fresh armour, grab the chainsaw and the berserk packs and just run at him swinging. Or just combat shotty walk at him to make sure your damage remains high while your berserk armour lets bullets ping off you. Chaingun sniping doesn't seem to work too well for me, but rockets don't go to badly. I guess it depends on your build and difficulty level/challenge mode.
The amount of room that question mark saves in your backpack for a later level is amazing as well. Keep it if you can.