I haven't yet built an Alien Containment, but I already have an Arc Thrower. Can I use it already, just to get free weapons?
Yes, you can knock aliens unconscious and keep their weapons intact if you don't build Alien Containment. I found this out the hard way when I finally zapped a Thin Man and then learned to my dismay I'd forgotten to build the containment facility.
After the mission when you get back to base, you'll simply get a message stating that the alien expired, and thus won't be able to do any interrogation of it.