OC is legal, any arrest would be illegal.
I personally have long supported OC as a means to pressure CC, but I believe OC is valuable in itself and not simply as a means to reach another end. My goal would be to see unlicensed OC and CC throughout the country.
I'm not sure it's quite accurate to say you'd be arrested and have your gun confiscated in most Wisconsin cities, because we have too little information to go on and few people who practice OC at this time. I've OC'ed in a few municipalities without any problems, including Madison. On the other hand I've had conflicting opinions offered by members of the Madison Police, ranging from (to paraphrase) "you'll automatically be charged with disorderly conduct" to "merely carrying a legal weapon won't result in an arrest, but we prefer not to have to deal with all the calls that might come in as people see you."