From what I have seen, the Wisconsin House and Senate both have broad powers to discipline their own members who refuse to do their jobs (i.e.: refuse to attend). Given that, the arrest of the recalcitrant dems could be quite legal, provided they are in the jurisdiction of the arresting officers.
Someone who has been arrested is generally taken to jail, not to the senate. Gov may face some law suits if he tries to compel someone to go to the senate.
Of course it all depends on what the law says.