Is it better for one who arrives in Makkah after the afternoon of Arafah to go there to perform Tawaf and Sa'i then head out to Arafah, or to proceed directly to Arafah?

It is better to go directly to Arafat on the Day of Arafat, not for circumambulation. The proof for this is the story of Urwah ibn Mudarris, who prayed Fajr with the Prophet, peace and blessings be upon him, in Muzdalifah. He asked him about his pilgrimage after he had come from a far distance and stopped at every mountain. The Prophet, peace and blessings be upon him, answered him: "Whoever prays this prayer of ours, and stands with us until we depart, and had stood before that in Arafat, whether by night or day, then his pilgrimage is complete, and he has fulfilled his requirements." The Prophet, peace and blessings be upon him, did not mention that he performed the circumambulation of arrival (Tawaf al-Qudum). So, if you arrive in Mecca on the Day of Arafat, go to Arafat.