They won't arrest you - but they could refuse you entry and ban you from Canada for up to two years just for mentioning your intent to marry a Canadian . . . that's because they'll assume the worst case scenario, that you are using her to immigrate to Canada, and there won't be a single thing you can say to dissuade them.
Best option is to enter Canada for a visit - you can say you're visiting a family friend . . . it's better not to mention that you have a fiancee or girlfriend in Canada. What worked this last time will work again . . . and it will have been close to six months since your last entry so you shouldn't raise any red flags. Keep it simple, have return trip itinerary, and don't try to bring any excessive personal items into Canada.
There's a lot of information for US spousal applicants for PR on the
US2Canada website. In addition, if you want personal information on what NOT to do, feel free to email me. I'm about ready to publish our four year long immigration saga on a blog. It's a sad story indeed - and came about all because we didn't know what we were up against and we trusted the advice of one immigration official when nothing she ever told us to do worked out like it was supposed to. We've learned really hard lessons - and we're still paying the price. There are right ways to do this, but if you don't do it right, you can end up hopelessly entangled in bureaucratic red tape that might take you forever to get out of.