Whatever you do, make sure that some semblance of the arXiv citation string appears in your citation. By that I mean either the full url (random example from a tab I have open)
http://arxiv.org/abs/1205.2525
or the suggested arXiv citation format in BibTeX which would print something like
arXiv:1205.2525 [math.CA]
in the citations. One of the many points of a citation is to tell people where to look for the paper, therefore you should include necessary information as to where to search.
Also, as arXiv papers are mutable, it may be a good idea to cite the specific revision of a paper that you consulted if it has multiple. That would append v#
where #
is a numeral to the arXiv citation string.