The police are acting within their authority to arrest you at any place or time. A warrant for failure to appear in court is no different than any other arrest order. However, if you want to avoid the embarrassment of being arrested in front of your family, friends, fellow students, or coworkers, you have the option of surrendering yourself to your local police department and posting a bond, or paying fines and costs if they have been previously assessed.
You should note that all attempts will be made to satisfy the court's arrest order should you choose not to comply.